predict_VaRCTE_posterior.Rd
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.
A matrix of responses.
A matrix of covariates.
A matrix of logit regression coefficients.
A matrix specifying the expert functions.
A matrix of probabilities.
A vector indicating the time exposure (past) of each observation. If nothing is supplied,it is set to 1.0 by default.
A vector indicating the time exposure (future) of each observation. If nothing is supplied,it is set to 1.0 by default.
Bool variable. indicating if Y
is observed exactly or with censoring and truncation. Default set to be False
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.