extExpectlp: Composite extreme expectile estimation

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

Composite extreme expectile estimation

Description

This function estimates extreme expectiles by using intermediate Lp-quantiles.

Usage

extExpectlp(X,tau,k,p,estim="lpindex",br=FALSE)

Arguments

X	Data vector.
tau	Numeric (extreme) probability with value in [0,1].
k	A vector of number of upper order statistics.
p	The chosen Lp-quantile (must be greater than 1).
estim	Tail index estimator used : Hill estimator ("Hill") or Lp-quantile estimator ("lpindex", default).
br	Bias reduced version if TRUE. Default: FALSE.

Value

A vector of k estimates of the expectile.

Author(s)

Antoine Usseglio-Carleve

References

Girard, S., Stupfler, G., and Usseglio-Carleve, A. (2020). Composite bias-reduced Lp-quantile estimators of extreme quantiles and expectiles, preprint.

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