predict_VaRCTE_posterior

Predicts the p-th value-at-risk (VaR) and conditional tail expectation (CTE) of response, given observations Y, covariates X, logit regression coefficients alpha and a specified model of expert functions.

predict_VaRCTE_posterior(
  Y,
  X,
  alpha,
  model,
  p,
  exposure_past = list(),
  exposure_future = list(),
  exact_Y = F
)

Arguments

Y

A matrix of responses.

X

A matrix of covariates.

alpha

A matrix of logit regression coefficients.

model

A matrix specifying the expert functions.

p

A matrix of probabilities.

exposure_past

A vector indicating the time exposure (past) of each observation. If nothing is supplied,it is set to 1.0 by default.

exposure_future

A vector indicating the time exposure (future) of each observation. If nothing is supplied,it is set to 1.0 by default.

exact_Y

Bool variable. indicating if Y is observed exactly or with censoring and truncation. Default set to be False

Value

result: list(VaR, CTE) VaR: A matrix of predicted VaR of response, based on posterior probabilities. CTE: A matrix of predicted CTE of response, based on posterior probabilities.