Compute the Value at Risk and Expected Shortfall of a SolarModel

Compute the Value at Risk and Expected Shortfall of a SolarModel

solarModel_VaR(model, alpha = 0.05, ci = 0.05, ES = FALSE, type = "full")

Arguments

model

solarModel

alpha

Numeric vector of confidence levels. Allows for more than one alpha.

ci

Numeric scalar, confidence levels used to state if the Null is rejected or not on VaR tests.

ES

Logical, when TRUE the expected shortfall will be also computed for each alpha.

type

Numeric, type of evaluation, full on the complete data, train on the train data, test on the test data.