predict.cvar: Predict method for WDKLL cvar

In ygeunkim/ceshat: Nonparametric Estimation of Conditional Expected Shortfall

Description

WDKLL values for CVar

Usage

## S3 method for class 'cvar'
predict(object, newx, ...)

Arguments

object	Object of class from wdkll_cvar
newx	x to predict. Unless specified, use the data.
...	further arguments passed to or from other methods.

Details

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)

Value

CVaR given x

References

Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.

ygeunkim/ceshat documentation built on Dec. 16, 2019, 12:39 p.m.