ebeta: Expectiles of Beta distribution

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

Expectiles of Beta distribution

Description

This function computes the expectiles of the Beta distribution.

Usage

  ebeta(probs, shape1, shape2, start.pt="quantile", tol=1e-08, maxiter=100, x0=NULL)

Arguments

probs	Numeric vector of probabilities with values in (0,1).
shape1	First shape parameter. Must be strictly positive.
shape2	Second shape parameter. Must be strictly positive.
start.pt	Choice of the starting points. Mean of the Beta distribution if "mean", quantiles (levels probs) of the Beta distribution if "quantile". The starting point is chosen manually if "custom".
tol	Tolerance in the stopping criterion. Default: 1e-08.
maxiter	Maximum number of iterations. Default: 100.
x0	Value of the starting point (only if start.pt="custom").

Details

The considered distribution has p.d.f. y^(shape1-1)*(1-y)^(shape2-1)/B(shape1,shape2) for y in [0,1].

Author(s)

Antoine Usseglio-Carleve

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