enorm: Expectiles of normal distribution

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

Expectiles of normal distribution

Description

This function computes the theoretical expectiles of the normal distribution.

Usage

enorm(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	Location parameter. Default: 0.
sigma	Scale parameter. Default: 1.
start.pt	Choice of the starting points. 0 if "mean", quantiles (levels probs) of the normal 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").

Author(s)

Antoine Usseglio-Carleve.

References

Maume-Deschamps, V., Rulliere, D., and Usseglio-Carleve, A. (2018). Spatial expectile predictions for elliptical random fields. Methodology and Computing in Applied Probability, 20(2):643-671.

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