pinLoss {qgam}

Pinball loss function

Description

Evaluates the pinball loss.

Usage

pinLoss(y, mu, qu, add = TRUE)

Arguments

y

points at which the loss is evaluated.

mu

location parameter of the pinball loss.

qu

quantile level of the loss.

add

if TRUE the losses at which quantile level will be added up.

Value

A numeric vector or matrix of evaluate losses.

Author(s)

Matteo Fasiolo <[e-mail]>.

Examples

n <- 1000
x <- seq(0, 4, length.out = n)
plot(x, pinLoss(x, rep(2, n), qu = 0.9, add = FALSE), type = 'l', ylab = "loss")