The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.

Meanimiles

This R package provides tools for the statistical estimation of meanimiles, a general and flexible class of (risk) functionals that unifies quantiles, expectiles, and extremiles.

In particular, nonparametric estimators for univariate meanimile are implemented, as introduced and studied in:

• Debrauwer, D., Gijbels, I., & Herrmann, K. (2025). On a general class of functionals: Statistical inference and application to risk measures. Electronic Journal of Statistics, 19(1), 2456-2510. doi: 10.1214/25-EJS2391.

Furthermore, the package includes several copula-based estimation procedures for portfolio risk aggregation. These accommodate parametric and nonparametric methods for both margins and dependence structures, as investigated in:

• Debrauwer, D. & Gijbels, I. (2026). Copula-based estimation of meanimiles of aggregated risks. Metrika. doi: 10.1007/s00184-026-01022-9.

Finally, novel estimators for meanimiles in regression settings are implemented as well.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.