5.41 get_quantile_estimator

Function File: [w] = get_quantile_estimator (kernel, scenarios, vec, alpha, bandwidth)

Compute the scenario weights based on various Kernels (e.g. Epanechnikov (ep), Harrell-Davis (hd) estimator, equal weights for a given bandwidth (ew) or singular weight on quantile scenario (singular).
Variables:

• kernel: Specify Kernel (’hd’, ’ep’, ’ew’, ’singular’)
• scenarios: number of total scenarios
• vec: scenarios, for which weighs shall be computed
• alpha: quantile (e.g. 0.005)
• bandwidth: bandwidth around scenario quantile (+- scenarios, ep only)
• w: OUTPUT: column vector with scenario weights