ehallweiss: Expectiles of Hall-Weiss distribution

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

Expectiles of Hall-Weiss distribution

Description

This function computes the expectiles of the Hall-Weiss distribution.

Usage

ehallweiss(probs, alpha, beta, start.pt="quantile", tol=1e-08, maxiter=100, x0=NULL)

Arguments

probs	Numeric vector of probabilities with values in (0,1).
alpha	First-order parameter strictly greater than 1.
beta	Second-order parameter strictly greater than 0.
start.pt	Choice of the starting points. Mean of the Hall-Weiss distribution if "mean", (1-probs)^(-1/alpha) 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. y^(-alpha)/2+y^(-alpha-beta)/2 for y>1.

Author(s)

Antoine Usseglio-Carleve

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