Description Usage Arguments Details Value References
WDKLL values for CVar
1 2 |
object |
Object of class from |
newx |
x to predict. Unless specified, use the |
... |
further arguments passed to or from other methods. |
CVaR can be earned by inverting the CDF.
\hat{nu}_p(x) = \hat{S}_c^{-1}(p \mid x)
where
\hat{S}(y \mid x)_c(y \mid x) = 1 - \hat{F}_c(y \mid x)
CVaR given x
Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.
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