echisq: Expectiles of chi-squared distribution

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

Expectiles of chi-squared distribution

Description

This function computes the expectiles of the chi-squared distribution.

Usage

echisq(probs, df, start.pt="quantile", tol=1e-08, maxiter=100, x0=NULL)

Arguments

probs	Numeric vector of probabilities with values in (0,1).
df	Degrees of freedom. Must be strictly positive.
start.pt	Choice of the starting points. df if "mean", quantiles (levels probs) of the chi-squared 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^(df/2-1)*exp(-y/2)/(2^(df/2)*Gamma(df/2)) for y>0.

Author(s)

Antoine Usseglio-Carleve

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