5.17 epanechnikov_weight

Function File: [X] = epanechnikov_weight (scenarios, bandwidth, alpha)

Compute the scenario weights based on the Epanechnikov Kernel (1969) quantile estimator. The Epanechnikov Kernel has the highest efficiency of all kernels.
Variables:

• scenarios: number of total scenarios
• bandwidth: bandwidth around scenario quantile (+- scenarios)
• alpha: quantile (e.g. 0.005)
• X: OUTPUT: EP-weight column vector