U md@sdZddlZdddZeZedkrejjddd ZeeZ e e d d e e eDZ e e ddd fe d deedgdZe edS)z5 Created on Wed May 04 06:09:18 2011 @author: josef N皙?cCsd}t|}|j|}tj||d}|dkr4|}n|t||t}tj||dd}g}tt |dD]T} || } || d } || d } | t || } | | || | | fqpt|}d}|ddddf||ddd dftd dgg}t||fS) aempirical mean residual life or expected shortfall Parameters ---------- x : 1-dimensional array_like frac : list[float], optional All entries must be between 0 and 1 alpha : float, default 0.05 FIXME: not actually used. TODO: check formula for std of mean does not include case for all observations last observations std is zero vectorize loop using cumsum frac does not work yet r)axisNright)Zsideg\(\?)npZasarrayshapesortfloorZastypeintZ searchsortedrangelenmeanZstdsqrtappendarrayZ column_stack)xfracalpharZnobsZxsortedZ xthresholdZ xlargerindexresultiZk_indrmeanZrstdZrmstdrescritZconfintrb/home/sam/Atlas/atlas_env/lib/python3.8/site-packages/statsmodels/sandbox/distributions/try_pot.pymean_residual_life s&   <r__main__ )sizecCsg|]}t|dqS)N)rvsr).0rrrr ?sr$rrg?)r)Nr)__doc__numpyrrZexpected_shortfall__name__randomZ standard_tr"rprintr rrZres_fracrrrrs .