ef: Expectiles of F distribution

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

Expectiles of F distribution

Description

This function computes the expectiles of the F distribution.

Usage

ef(probs, df1, df2, start.pt="quantile", tol=1e-08, maxiter=100, x0=NULL)

Arguments

probs	Numeric vector of probabilities with values in (0,1).
df1	Degree of freedom 1. Must be strictly positive.
df2	Degree of freedom 2. Must be strictly greater than 2.
start.pt	Choice of the starting points. Mean of the F distribution if "mean", quantiles (levels probs) of the F 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. (df1/df2)^(df1/2)*y^(df1/2-1)*(1+(df1/df2)*y)^(-(df1+df2)/2)/B(df1/2,df2/2) for y>0.

Author(s)

Antoine Usseglio-Carleve

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