esr_rho_lp {esreg} | R Documentation |
Joint (VaR, ES) loss for a linear predictor
Description
Returns the loss for the parameter vector b
Usage
esr_rho_lp(b, y, xq, xe, alpha, g1 = 2L, g2 = 1L)
Arguments
b |
Parameter vector |
y |
Vector of dependent data |
xq |
Matrix of covariates for the quantile part |
xe |
Matrix of covariates for the expected shortfall part |
alpha |
Probability level |
g1 |
1, 2 (see G1_fun) |
g2 |
1, 2, 3, 4, 5 (see G2_curly_fun, G2_fun) |
[Package esreg version 0.6.2 Index]