R/ESlnorm.R

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

ESlnorm=function (probs, mu = 0, sigma = 1) 
{
  
  if (min(probs) <= 0 || max(probs) >= 1) {
    stop("only asymmetries between 0 and 1 allowed.")
  }
  
  if (length(mu) > 1) {
    stop("mu must be of length 1.")
  }
  
  if (length(sigma) > 1) {
    stop("sigma must be of length 1.")
  }
  
  if (sigma <= 0) {
    stop("sigma must be positive.")
  }

  return(exp(mu+sigma^2/2)*pnorm(sigma-qnorm(probs))/(1-probs))

}