expp: Expectiles Due To Newey And Powell (1987)

In Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution

Description

Computes expectiles for a given ditribution

Usage

expp(spec, alpha, a, b, ...)

Arguments

spec	a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
alpha	the probabilities associated with expectiles
a	the lower end point of the distribution specified by spec
b	the upper end point of the distribution specified by spec
...	other parameters

Value

An object of the same length as alpha, giving expectiles computed.

Author(s)

Stephen Chan, Saralees Nadarajah

References

S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted

W. K. Newey and J. L. Powell, Asymmetric least squares estimation and testing. Econometrica, 55, 1987, 819-847 <DOI:10.2307/1911031>

Examples

expp("norm", 0.9, a=-Inf, b=Inf)

Risk documentation built on May 2, 2019, 3:34 p.m.