ceshat

Overview

This is an R package to help the SKKU nonparametric statistics project. It is basically based on the paper

Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.

Installation

# install.packages("devtools")
devtools::install_github("ygeunkim/ceshat")