expp {Risk} | R Documentation |
Expectiles Due To Newey And Powell (1987)
Description
Computes expectiles for a given ditribution
Usage
expp(spec, alpha, a, b, ...)
Arguments
spec |
a character string specifying the distribution (for example, "norm" corresponds to the standard normal) |
alpha |
the probabilities associated with expectiles |
a |
the lower end point of the distribution specified by |
b |
the upper end point of the distribution specified by |
... |
other parameters |
Value
An object of the same length as alpha
, giving expectiles computed.
Author(s)
Stephen Chan, Saralees Nadarajah
References
S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted
W. K. Newey and J. L. Powell, Asymmetric least squares estimation and testing. Econometrica, 55, 1987, 819-847 <DOI:10.2307/1911031>
Examples
expp("norm", 0.9, a=-Inf, b=Inf)
[Package Risk version 1.0 Index]