default_quantile_benchmark_scenarios() returns a named list of simulation
scenarios covering moderate and strong correlation, block dependence,
high-dimensional designs, and misspecified noise. The output is designed to
feed directly into benchmark_quantile_selection().
Usage
default_quantile_benchmark_scenarios(
tau = c(0.25, 0.5, 0.75),
regimes = c("moderate_corr", "high_corr", "block_corr", "high_dim", "heavy_tail",
"heteroskedastic")
)
Arguments
- tau
Quantile levels to include in the validation grid. Each regime is
expanded over these values.
- regimes
Character vector selecting which regimes to include.
Value
A named list of scenario specifications.
Examples
scenarios <- default_quantile_benchmark_scenarios(
tau = c(0.25, 0.5),
regimes = c("moderate_corr", "heavy_tail")
)
names(scenarios)
#> [1] "moderate_corr_tau_0_25" "moderate_corr_tau_0_5" "heavy_tail_tau_0_25"
#> [4] "heavy_tail_tau_0_5"