6.3.16.1.1. statsmodels.sandbox.distributions.try_pot.expected_shortfall

statsmodels.sandbox.distributions.try_pot.expected_shortfall(x, frac=None, alpha=0.05)

emprirical mean residual life or expected shortfall

Parameters:

todo: check formula for std of mean

doesn’t include case for all observations

last observations std is zero

vectorize loop using cumsum

frac doesn’t work yet