ES: Expected shortfall function

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

Expected shortfall function

Description

This function computes the expected shortfall of an univariate distribution, excluding zero-inflated.

Usage

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

Arguments

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)
family	distribution name; run the function distributions() for help
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 = c(-1.5, 1.7) ;
es = ES( 0.01, theta, family)
print('Expected shortfall : ')
print(es$es)

GenHMM1d documentation built on Sept. 9, 2025, 5:50 p.m.