edagum: Expectiles of the Dagum distribution

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

Expectiles of the Dagum distribution

Description

This function computes the expectiles of the Dagum distribution.

Usage

edagum(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 Dagum distribution. Must be strictly greater than 1.
b	Parameter of the Dagum distribution. Must be strictly positive.
start.pt	Choice of the starting points. Mean of the Dagum distribution if "mean", quantiles (levels probs) of the Dagum 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.d.f. (1+ y^(-a))^(-b). Note that this distribution is heavy-tailed with first and second tail indices gamma=1/a and rho=-1, respectively.

Author(s)

Antoine Usseglio-Carleve

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