RobExtremes (version 1.3.2)

asvarQBCC: Function to compute asymptotic variance of QuantileBCC estimator

Description

Function asvarQBCC computes the asymptotic (co)variance of a QuantileBCC estimator at a Weibull model.

Usage

asvarQBCC( model, p1 = 1/3, p2 = 2/3)

Value

A 2x2 matrix; the covariance.

Arguments

model

an object of class "ScaleShapeUnion".

p1,p2

levels of the quantiles; maximal breakdown point is achieved for \(p1=p2-p1=1-p2=1/3\) which is the default.

Author

Peter Ruckdeschel

Details

All terms are analytic.

See Also

QuantileBCCEstimator

Examples

GP <- WeibullFamily(scale=1,shape=0.7)
asvarQBCC(GP)
asvarQBCC(GP, p1=1/4, p2= 5/8)