Function filteredTailRisk

filteredTailRisk(
    request: {
        level: number;
        mean: number;
        residuals: ArrayLike<number>;
        variance: number;
    },
): TailRisk
Filtered historical simulation, one step: VaR and ES of r = μ + √s·z with z the fit's own standardised residuals instead of a parametric family — the tail comes from the data. Empirical, as simulatedTailRisk: the ⌈level·n⌉-th smallest residual and the mean of those at or below it.
Parameters
- request: { level: number; mean: number; residuals: ArrayLike<number>; variance: number }
  - Readonlylevel: number
  - Readonlymean: number
  - Readonlyresiduals: ArrayLike<number>
    
    z_t = (r_t − μ)/√s_t of the fit (standardizedResiduals).
  - Readonlyvariance: number
Returns TailRisk
- Defined in src/risk.ts:77