ES: Expected shortfall function

In GenHMM1d: Goodness-of-Fit for Univariate Hidden Markov Models

Description

This function compute the expected shortfall of an univariate distribution

Usage

ES(family, p, param, size = 0, Nsim = 25000)

Arguments

family	distribution name; run the function distributions() for help
p	value (1 x 1) at which the expected shortfall needs to be computed; between 0 and 1; (e.g 0.01, 0.05)
param	parameters of the distribution; (1 x p)
size	additional parameter for some discrete distributions; run the command distributions() for help
Nsim	number of simulations

Value

es	expected shortfall

Examples

family = "gaussian"

theta = matrix(c(-1.5, 1.7),1,2) ;
es = ES(family, (0.01), theta)
print('Expected shortfall : ')
print(es$es)

GenHMM1d documentation built on Jan. 21, 2021, 9:07 a.m.