predict.nwces: Predict method for nwces

In ygeunkim/ceshat: Nonparametric Estimation of Conditional Expected Shortfall

Description

WNW values for CES

Usage

## S3 method for class 'nwces'
predict(object, newx, nw = FALSE, ...)

Arguments

object	Object of class from wdkll_ces
newx	x to predict. Unless specified, use the data.
nw	Use NW or WNW. TRUE if NW.
...	further arguments passed to or from other methods.

Details

Plugging-in in methods gives

\hat{μ}_p(x) = \frac{1}{p} ∑_{t = 1}^n W_{c,t}(x, h) ≤ft[ Y_t \bar{G}_{h_0} (\hat{ν}_p (x) - Y_t) + h_0 G_{1, h_0} (\hat{ν}_p (x) - Y_t) \right]

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.