Package: esreg 0.6.2

esreg: Joint Quantile and Expected Shortfall Regression

Simultaneous modeling of the quantile and the expected shortfall of a response variable given a set of covariates, see Dimitriadis and Bayer (2019) <doi:10.1214/19-EJS1560>.

Authors:Sebastian Bayer [aut, cre], Timo Dimitriadis [aut]

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NEWS

Peer review:

Bug tracker:https://github.com/bayerse/esreg/issues

On CRAN:

expected-shortfallquantile-regressionvalue-at-risk

20 exports 2 stars 1.11 score 10 dependencies 1 dependents 7 scripts 319 downloads

Last updated 1 years agofrom:086e4fdfac. Checks:OK: 9. Indexed: yes.

Exports:cdf_at_quantileconditional_mean_sigmaconditional_truncated_variancedensity_quantile_functionesr_lossesr_rho_lpesregestfun.esregG_vecG1_funG1_prime_funG1_prime_prime_funG2_curly_funG2_funG2_prime_funG2_prime_primelambda_matrixsigma_matrixvcovAvcovB

Dependencies:FormulalatticeMASSMatrixMatrixModelsquantregRcppRcppArmadilloSparseMsurvival