Description Usage Arguments Details Value Author(s) References See Also Examples
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.
1 2 3 4 5 6 7 8 |
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 |
... |
graphical parameters. |
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).
Numeric vector with the fitted expectiles.
Fabian Otto-Sobotka
Carl von Ossietzky University Oldenburg
http://www.uni-oldenburg.de
Sobotka F and Kneib T (2010) Geoadditive Expectile Regression Computational Statistics and Data Analysis, doi: 10.1016/j.csda.2010.11.015.
1 2 3 4 5 6 7 8 9 |
Loading required package: parallel
Loading required package: mboost
Loading required package: stabs
This is mboost 2.8-1. See 'package?mboost' and 'news(package = "mboost")'
for a complete list of changes.
Loading required package: BayesX
Loading required package: shapefiles
Loading required package: foreign
Attaching package: 'shapefiles'
The following objects are masked from 'package:foreign':
read.dbf, write.dbf
Note: Function plotsurf depends on akima which has
a restricted licence that explicitly forbids commercial use.
akima is therefore disabled by default and may be enabled by
akimaPermit(). Calling this function includes your agreement to
akima`s licence restrictions.
0 0.25 0.5 0.75 1
50.0000 108.5825 130.9574 150.7545 199.1000
0.01 0.02 0.05 0.1 0.2 0.5 0.8 0.9 0.95 0.98
-1.7230 -1.4609 -1.1120 -0.8315 -0.5257 0.0080 0.5418 0.8406 1.1086 1.4331
0.99
1.6782
$x
[1] -1.668253149 -1.434743114 -1.292118765 -1.187796310 -1.104845757
[6] -1.035590100 -0.975878113 -0.923204326 -0.875937451 -0.832954523
[11] -0.793448722 -0.756820355 -0.722611211 -0.690463048 -0.660090310
[16] -0.631261558 -0.603786495 -0.577506659 -0.552288607 -0.528018838
[21] -0.504599931 -0.481947582 -0.459988288 -0.438657518 -0.417898253
[26] -0.397659810 -0.377896883 -0.358568757 -0.339638658 -0.321073209
[31] -0.302841977 -0.284917085 -0.267272884 -0.249885676 -0.232733472
[36] -0.215795778 -0.199053421 -0.182488380 -0.166083654 -0.149823131
[41] -0.133691477 -0.117674041 -0.101756756 -0.085926062 -0.070168831
[46] -0.054472288 -0.038823956 -0.023211583 -0.007623090 0.007953491
[51] 0.023530073 0.039118566 0.054730939 0.070379271 0.086075814
[56] 0.101833045 0.117663738 0.133581024 0.149598460 0.165730114
[61] 0.181990637 0.198395363 0.214960404 0.231702761 0.248640455
[66] 0.265792659 0.283179867 0.300824068 0.318748960 0.336980192
[71] 0.355545641 0.374475740 0.393803866 0.413566793 0.433805236
[76] 0.454564501 0.475895271 0.497854565 0.520506913 0.543925821
[81] 0.568195590 0.593413642 0.619693478 0.647168541 0.675997293
[86] 0.706370031 0.738518194 0.772727338 0.809355705 0.848861506
[91] 0.891844433 0.939111309 0.991785096 1.051497083 1.120752740
[96] 1.203703293 1.308025748 1.450650097 1.684160132
$y
[1] -1.7230 -1.4609 -1.3098 -1.1986 -1.1120 -1.0407 -0.9794 -0.9243 -0.8754
[10] -0.8315 -0.7911 -0.7541 -0.7200 -0.6879 -0.6576 -0.6290 -0.6017 -0.5754
[19] -0.5501 -0.5257 -0.5022 -0.4794 -0.4573 -0.4360 -0.4153 -0.3950 -0.3753
[28] -0.3561 -0.3372 -0.3188 -0.3007 -0.2830 -0.2654 -0.2481 -0.2311 -0.2143
[37] -0.1977 -0.1812 -0.1650 -0.1488 -0.1329 -0.1170 -0.1013 -0.0855 -0.0699
[46] -0.0543 -0.0387 -0.0232 -0.0076 0.0080 0.0235 0.0391 0.0548 0.0705
[55] 0.0862 0.1020 0.1179 0.1338 0.1499 0.1660 0.1823 0.1988 0.2154
[64] 0.2321 0.2491 0.2663 0.2836 0.3013 0.3191 0.3372 0.3556 0.3744
[73] 0.3936 0.4133 0.4335 0.4541 0.4751 0.4966 0.5188 0.5418 0.5654
[82] 0.5901 0.6158 0.6427 0.6711 0.7007 0.7323 0.7658 0.8017 0.8406
[91] 0.8829 0.9290 0.9808 1.0398 1.1086 1.1901 1.2933 1.4331 1.6782
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