quantile_risk {FARS} | R Documentation |
Extract Conditional Quantile from Simulated Densities
Description
Computes the conditional quantile (e.g., 5th percentile) from a simulated skew-t distribution,
generated via density()
or nl_density()
. The result corresponds to the
risk measure (e.g., Growth-at-Risk, Growth-in-Stress etc.).
Usage
quantile_risk(density, QTAU = 0.05)
Arguments
density |
An object of class |
QTAU |
A numeric value between 0 and 1 indicating the quantile to extract (e.g., 0.05 for 5th percentile). |
Value
A numeric vector of conditional quantiles (one observation for each time period).
Examples
Quantiles <- matrix(rnorm(500), ncol = 5)
fars_density <- compute_density(Quantiles, seed = 42)
GaR <- quantile_risk(fars_density, QTAU = 0.05)
[Package FARS version 0.5.0 Index]