Qalpha {robcp} | R Documentation |
Q^{\alpha}
Description
Estimates Q-alpha using the first k
elements of a time series.
Usage
Qalpha(x, alpha = 0.8)
Arguments
x |
numeric vector. |
alpha |
quantile. Numeric value in (0, 1] |
Details
\hat{Q}^{\alpha}_{1:k} = U_{1:k}^{-1}(\alpha) = \inf\{x | \alpha \leq U_{1:k}(x)\},
where U_{1:k}
is the empirical distribtion function of |x_i - x_j|, \, 1 \leq i < j \leq k
.
Value
Numeric vector of Q^{\alpha}
-s estimated using x[1], ..., x[k]
, k = 1, ..., n
, n
being the length of x
.
Examples
x <- rnorm(10)
Qalpha(x, 0.5)
[Package robcp version 0.3.9 Index]