# expectile: Sample Expectiles In expectreg: Expectile and Quantile Regression

 expectile R Documentation

## Sample Expectiles

### Description

Expectiles are fitted to univariate samples with least asymmetrically weighted squares for asymmetries between 0 and 1. For graphical representation an expectile - expectile plot is available. The corresponding functions quantile, qqplot and qqnorm are mapped here for expectiles.

### Usage

expectile(x, probs = seq(0, 1, 0.25), dec = 4)

eenorm(y, main = "Normal E-E Plot",
xlab = "Theoretical Expectiles", ylab = "Sample Expectiles",
plot.it = TRUE, datax = FALSE, ...)

eeplot(x, y, plot.it = TRUE, xlab = deparse(substitute(x)),
ylab = deparse(substitute(y)), main = "E-E Plot", ...)

### Arguments

 x, y Numeric vector of univariate observations. probs Numeric vector of asymmetries between 0 and 1 where 0.5 corresponds to the mean. dec Number of decimals remaining after rounding the results. plot.it logical. Should the result be plotted? datax logical. Should data values be on the x-axis? xlab, ylab, main plot labels. The xlab and ylab refer to the x and y axes respectively if datax = TRUE. ... graphical parameters.

### Details

In least asymmetrically weighted squares (LAWS) each expectile is fitted independently from the others. LAWS minimizes:

S = ∑_{i=1}^{n}{ w_i(p)(x_i - μ(p))^2}

with

w_i(p) = p 1_{(x_i > μ(p))} + (1-p) 1_{(x_i < μ(p))} .

μ(p) is determined by iteration process with recomputed weights w_i(p).

### Value

Numeric vector with the fitted expectiles.

### Author(s)

Fabian Otto-Sobotka
Carl von Ossietzky University Oldenburg
https://uol.de

### References

Sobotka F and Kneib T (2010) Geoadditive Expectile Regression Computational Statistics and Data Analysis, doi: 10.1016/j.csda.2010.11.015.

### See Also

expectreg.ls, quantile

### Examples

data(dutchboys)

expectile(dutchboys[,3])

x = rnorm(1000)

expectile(x,probs=c(0.01,0.02,0.05,0.1,0.2,0.5,0.8,0.9,0.95,0.98,0.99))

eenorm(x)

expectreg documentation built on March 18, 2022, 5:57 p.m.