logspaceeplot: Log-spacing Expectile-Expectile plot

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

Log-spacing Expectile-Expectile plot

Description

This function produces an exponential EE plot of the values of the log spacings of the k greatest values of X.

Usage

logspaceeplot(X,k=trunc(length(X)/10),weighted=T,add.line=F)

Arguments

X	Data vector.
k	Number of upper order statistics. Default: 10% of the data.
weighted	Boolean. If TRUE (default), the weighted log-spacings i*log(X_n-i+1,n/X_n-i,n) for i between 1 and k are computed. If FALSE, the log-spacings log(X_n-i,n/X_n-k,n) are considered.
add.line	Add a straight line with slope the estimated tail index (bias-reduced Hill estimator) if TRUE. Default: FALSE.

Author(s)

Antoine Usseglio-Carleve

See Also

logspacqqplot

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