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