elnorm: Expectiles of the Lognormal distribution

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

Expectiles of the Lognormal distribution

Description

This function computes the expectiles of the Lognormal distribution.

Usage

elnorm(probs, mu = 0, sigma = 1, start.pt="quantile", tol=1e-08, maxiter=100, x0=NULL)

Arguments

probs	Numeric vector of probabilities with values in (0,1).
mu	Meanlog parameter.
sigma	sdlog parameter. Must be strictly positive.
start.pt	Choice of the starting points. Mean of the Lognormal distribution if "mean", quantiles (levels probs) of the Lognormal 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 the stochastic representation X=exp(Y), where Y is a normal distribution with mean mu and standard deviation sigma.

Author(s)

Antoine Usseglio-Carleve

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