CIextExpect: Extreme expectile estimator with confidence interval

In AntoineUC/Expectrem: Bias-reduced estimation of extreme value index and extreme quantiles, expectiles and Expected Shortfalls

Extreme expectile estimator with confidence interval

Description

This function computes the (direct and indirect) Weissman type estimators of extreme expectiles, and returns the associated confidence intervals.

Usage

CIextExpect(X, k = trunc(length(X)/10), tau, method = "direct",ci.level=0.95)

Arguments

X	Data vector.
k	A vector of number of upper order statistics. Default: 10% of the data.
tau	Numeric (extreme) probability with value in [0,1].
method	Direct or indirect (quantile based) estimator. Default: direct.
ci.level	Confidence level. Default: 0.95.

Value

Lower_bound	Lower bound of the confidence interval.
Point_estimate	Extreme expectile estimate.
Upper_bound	Upper bound of the confidence interval.

Author(s)

Antoine Usseglio-Carleve

References

Daouia, A., Stupfler, G. and Usseglio-Carleve, A. (2023). Bias- and variance-corrected asymptotic Gaussian inference about extreme expectiles.

AntoineUC/Expectrem documentation built on Feb. 14, 2025, 11:22 a.m.