extremefit: wquantile – R documentation

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wquantile

Weighted quantile

Compute the weighted quantile of order p.

wquantile(X, p, weights = rep(1, length(X)))

`X`	a vector of data.
`p`	a vector of probabilities.
`weights`	the weights assiociated to the vector X.

Give the weighted quantile for a given p

A vector of quantile assiociated to the probabilities vector given in input.

X <- rpareto(10)
p <- seq(0.01, 0.99, 0.01)
plot(p, wquantile(X, p, rep(1,length(X))), type = "s")

Estimation of Extreme Conditional Quantiles and Probabilities

v1.0.2

GPL-2

Authors

Gilles Durrieu, Ion Grama, Kevin Jaunatre, Quang-Khoai Pham, Jean-Marie Tricot

Initial release

2019-05-03