qgam: pinLoss – R documentation

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pinLoss

Pinball loss function

Evaluates the pinball loss.

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

`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.

A numeric vector or matrix of evaluate losses.

Matteo Fasiolo <matteo.fasiolo@gmail.com>.

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")

Smooth Additive Quantile Regression Models

v1.3.3

GPL (>= 2)

Authors

Matteo Fasiolo [aut, cre], Simon N. Wood [ctb], Margaux Zaffran [ctb], Yannig Goude [ctb], Raphael Nedellec [ctb]

Initial release

2021-04-20