predict.nwcvar: Predict method for nwcvar

In ygeunkim/ceshat: Nonparametric Estimation of Conditional Expected Shortfall

Description

WDKLL values for CVar

Usage

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

Arguments

object	Object of class from wdkll_cvar
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

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.