eburr: Expectiles of the Burr distribution

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

Expectiles of the Burr distribution

Description

This function computes the expectiles of the Burr distribution.

Usage

eburr(probs, a, b, start.pt="quantile", tol=1e-08, maxiter=100, x0=NULL)

Arguments

probs	Numeric vector of probabilities with values in (0,1).
a	Parameter of the Burr distribution. Must be strictly positive.
b	Parameter of the Burr distribution. Must be strictly greater than 1/a.
start.pt	Choice of the starting points. Mean of the Burr distribution if "mean", quantiles (levels probs) of the Burr 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 c.s.f. (1+ y^a)^(-b). Note that this distribution is sometimes parametrized with gamma=1/(a*b) and rho=-1/b.

Author(s)

Antoine Usseglio-Carleve

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