Title: | Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions |
---|---|
Description: | Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over one hundred parametric distributions, including all commonly known distributions. Also computed are the corresponding probability density function and cumulative distribution function. See Chan, Nadarajah and Afuecheta (2015) <doi:10.1080/03610918.2014.944658> for more details. |
Authors: | Leo Belzile [cre] , Saralees Nadarajah [aut], Stephen Chan [aut], Emmanuel Afuecheta [aut] |
Maintainer: | Leo Belzile <[email protected]> |
License: | GPL (>= 2) |
Version: | 1.0.2 |
Built: | 2024-12-12 02:53:59 UTC |
Source: | https://github.com/lbelzile/vares |
Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over one hundred parametric distributions, including all commonly known distributions. Also computed are the corresponding probability density function and cumulative distribution function.
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
Computes the pdf, cdf, value at risk and expected shortfall for the asymmetric exponential power distribution due to Zhu and Zinde-Walsh (2009) given by
for ,
,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter, where
,
,
denotes the regularized complementary incomplete gamma function,
denotes the gamma function, and
denotes the inverse of
.
daep(x, q1=1, q2=1, alpha=0.5, log=FALSE) paep(x, q1=1, q2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) varaep(p, q1=1, q2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) esaep(p, q1=1, q2=1, alpha=0.5)
daep(x, q1=1, q2=1, alpha=0.5, log=FALSE) paep(x, q1=1, q2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) varaep(p, q1=1, q2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) esaep(p, q1=1, q2=1, alpha=0.5)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
alpha |
the value of the scale parameter, must be in the unit interval, the default is 0.5 |
q1 |
the value of the first shape parameter, must be positive, the default is 1 |
q2 |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) daep(x) paep(x) varaep(x) esaep(x)
x=runif(10,min=0,max=1) daep(x) paep(x) varaep(x) esaep(x)
Computes the pdf, cdf, value at risk and expected shortfall for the arcsine distribution given by
for ,
,
, the first location parameter, and
, the second location parameter.
darcsine(x, a=0, b=1, log=FALSE) parcsine(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE) vararcsine(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE) esarcsine(p, a=0, b=1)
darcsine(x, a=0, b=1, log=FALSE) parcsine(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE) vararcsine(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE) esarcsine(p, a=0, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first location parameter, can take any real value, the default is zero |
b |
the value of the second location parameter, can take any real value but must be greater than a, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) darcsine(x) parcsine(x) vararcsine(x) esarcsine(x)
x=runif(10,min=0,max=1) darcsine(x) parcsine(x) vararcsine(x) esarcsine(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized asymmetric Student's distribution due to Zhu and Galbraith (2010) given by
for ,
,
, the scale parameter,
, the first degree of freedom parameter,
and
, the second degree of freedom parameter, where
,
,
denotes the cdf of a Student's
random variable with
degrees of freedom, and
denotes the inverse of
.
dast(x, nu1=1, nu2=1, alpha=0.5, log=FALSE) past(x, nu1=1, nu2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) varast(p, nu1=1, nu2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) esast(p, nu1=1, nu2=1, alpha=0.5)
dast(x, nu1=1, nu2=1, alpha=0.5, log=FALSE) past(x, nu1=1, nu2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) varast(p, nu1=1, nu2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE) esast(p, nu1=1, nu2=1, alpha=0.5)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
alpha |
the value of the scale parameter, must be in the unit interval, the default is 0.5 |
nu1 |
the value of the first degree of freedom parameter, must be positive, the default is 1 |
nu2 |
the value of the second degree of freedom parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dast(x) past(x) varast(x) esast(x)
x=runif(10,min=0,max=1) dast(x) past(x) varast(x) esast(x)
Computes the pdf, cdf, value at risk and expected shortfall for the asymmetric Laplace distribution due to Kotz et al. (2001) given by
for ,
,
, the location parameter,
, the first scale parameter, and
, the second scale parameter.
dasylaplace(x, tau=1, kappa=1, theta=0, log=FALSE) pasylaplace(x, tau=1, kappa=1, theta=0, log.p=FALSE, lower.tail=TRUE) varasylaplace(p, tau=1, kappa=1, theta=0, log.p=FALSE, lower.tail=TRUE) esasylaplace(p, tau=1, kappa=1, theta=0)
dasylaplace(x, tau=1, kappa=1, theta=0, log=FALSE) pasylaplace(x, tau=1, kappa=1, theta=0, log.p=FALSE, lower.tail=TRUE) varasylaplace(p, tau=1, kappa=1, theta=0, log.p=FALSE, lower.tail=TRUE) esasylaplace(p, tau=1, kappa=1, theta=0)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the location parameter, can take any real value, the default is zero |
kappa |
the value of the first scale parameter, must be positive, the default is 1 |
tau |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dasylaplace(x) pasylaplace(x) varasylaplace(x) esasylaplace(x)
x=runif(10,min=0,max=1) dasylaplace(x) pasylaplace(x) varasylaplace(x) esasylaplace(x)
Computes the pdf, cdf, value at risk and expected shortfall for the asymmetric power distribution due to Komunjer (2007) given by
for ,
,
, the first scale parameter,
, the second scale parameter,
and
, the shape parameter,
where
.
dasypower(x, a=0.5, lambda=1, delta=1, log=FALSE) pasypower(x, a=0.5, lambda=1, delta=1, log.p=FALSE, lower.tail=TRUE) varasypower(p, a=0.5, lambda=1, delta=1, log.p=FALSE, lower.tail=TRUE) esasypower(p, a=0.5, lambda=1, delta=1)
dasypower(x, a=0.5, lambda=1, delta=1, log=FALSE) pasypower(x, a=0.5, lambda=1, delta=1, log.p=FALSE, lower.tail=TRUE) varasypower(p, a=0.5, lambda=1, delta=1, log.p=FALSE, lower.tail=TRUE) esasypower(p, a=0.5, lambda=1, delta=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be in the unit interval, the default is 0.5 |
delta |
the value of the second scale parameter, must be positive, the default is 1 |
lambda |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dasypower(x) pasypower(x) varasypower(x) esasypower(x)
x=runif(10,min=0,max=1) dasypower(x) pasypower(x) varasypower(x) esasypower(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Beard distribution due to Beard (1959) given by
for ,
,
, the first scale parameter,
, the second scale parameter,
and
, the shape parameter.
dbeard(x, a=1, b=1, rho=1, log=FALSE) pbeard(x, a=1, b=1, rho=1, log.p=FALSE, lower.tail=TRUE) varbeard(p, a=1, b=1, rho=1, log.p=FALSE, lower.tail=TRUE) esbeard(p, a=1, b=1, rho=1)
dbeard(x, a=1, b=1, rho=1, log=FALSE) pbeard(x, a=1, b=1, rho=1, log.p=FALSE, lower.tail=TRUE) varbeard(p, a=1, b=1, rho=1, log.p=FALSE, lower.tail=TRUE) esbeard(p, a=1, b=1, rho=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
b |
the value of the second scale parameter, must be positive, the default is 1 |
rho |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbeard(x) pbeard(x) varbeard(x) esbeard(x)
x=runif(10,min=0,max=1) dbeard(x) pbeard(x) varbeard(x) esbeard(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'iba et al. (2011) given by
for ,
,
, the scale parameter,
, the first shape parameter,
, the second shape parameter, and
, the third shape parameter,
where
denotes the incomplete beta function ratio,
denotes the beta function,
and
denotes the inverse function of
.
dbetaburr(x, a=1, b=1, c=1, d=1, log=FALSE) pbetaburr(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varbetaburr(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esbetaburr(p, a=1, b=1, c=1, d=1)
dbetaburr(x, a=1, b=1, c=1, d=1, log=FALSE) pbetaburr(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varbetaburr(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esbetaburr(p, a=1, b=1, c=1, d=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
d |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetaburr(x) pbetaburr(x) varbetaburr(x) esbetaburr(x)
x=runif(10,min=0,max=1) dbetaburr(x) pbetaburr(x) varbetaburr(x) esbetaburr(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr XII distribution given by
for ,
,
, the first shape parameter,
, the second shape parameter,
, the third shape parameter, and
, the fourth shape parameter.
dbetaburr7(x, a=1, b=1, c=1, k=1, log=FALSE) pbetaburr7(x, a=1, b=1, c=1, k=1, log.p=FALSE, lower.tail=TRUE) varbetaburr7(p, a=1, b=1, c=1, k=1, log.p=FALSE, lower.tail=TRUE) esbetaburr7(p, a=1, b=1, c=1, k=1)
dbetaburr7(x, a=1, b=1, c=1, k=1, log=FALSE) pbetaburr7(x, a=1, b=1, c=1, k=1, log.p=FALSE, lower.tail=TRUE) varbetaburr7(p, a=1, b=1, c=1, k=1, log.p=FALSE, lower.tail=TRUE) esbetaburr7(p, a=1, b=1, c=1, k=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
c |
the value of the third shape parameter, must be positive, the default is 1 |
k |
the value of the fourth shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetaburr7(x) pbetaburr7(x) varbetaburr7(x) esbetaburr7(x)
x=runif(10,min=0,max=1) dbetaburr7(x) pbetaburr7(x) varbetaburr7(x) esbetaburr7(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta distribution given by
for ,
,
, the first parameter, and
, the second shape parameter.
dbetadist(x, a=1, b=1, log=FALSE) pbetadist(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varbetadist(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esbetadist(p, a=1, b=1)
dbetadist(x, a=1, b=1, log=FALSE) pbetadist(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varbetadist(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esbetadist(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
b |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetadist(x) pbetadist(x) varbetadist(x) esbetadist(x)
x=runif(10,min=0,max=1) dbetadist(x) pbetadist(x) varbetadist(x) esbetadist(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta exponential distribution due to Nadarajah and Kotz (2006) given by
for ,
,
, the first shape parameter,
, the second shape parameter, and
,
the scale parameter, where
denotes
the incomplete beta function ratio,
denotes the beta function, and
denotes the inverse function of
.
dbetaexp(x, lambda=1, a=1, b=1, log=FALSE) pbetaexp(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varbetaexp(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esbetaexp(p, lambda=1, a=1, b=1)
dbetaexp(x, lambda=1, a=1, b=1, log=FALSE) pbetaexp(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varbetaexp(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esbetaexp(p, lambda=1, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetaexp(x) pbetaexp(x) varbetaexp(x) esbetaexp(x)
x=runif(10,min=0,max=1) dbetaexp(x) pbetaexp(x) varbetaexp(x) esbetaexp(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'echet distribution due to Barreto-Souza et al. (2011) given by
for ,
,
, the first shape parameter,
, the scale parameter,
, the second shape parameter, and
, the third shape parameter.
dbetafrechet(x, a=1, b=1, alpha=1, sigma=1, log=FALSE) pbetafrechet(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetafrechet(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetafrechet(p, a=1, b=1, alpha=1, sigma=1)
dbetafrechet(x, a=1, b=1, alpha=1, sigma=1, log=FALSE) pbetafrechet(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetafrechet(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetafrechet(p, a=1, b=1, alpha=1, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
alpha |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetafrechet(x) pbetafrechet(x) varbetafrechet(x) esbetafrechet(x)
x=runif(10,min=0,max=1) dbetafrechet(x) pbetafrechet(x) varbetafrechet(x) esbetafrechet(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Gompertz distribution due to Cordeiro et al. (2012b) given by
for ,
,
, the first scale parameter,
, the second scale parameter,
, the first shape parameter, and
, the second shape parameter.
dbetagompertz(x, b=1, c=1, d=1, eta=1, log=FALSE) pbetagompertz(x, b=1, c=1, d=1, eta=1, log.p=FALSE, lower.tail=TRUE) varbetagompertz(p, b=1, c=1, d=1, eta=1, log.p=FALSE, lower.tail=TRUE) esbetagompertz(p, b=1, c=1, d=1, eta=1)
dbetagompertz(x, b=1, c=1, d=1, eta=1, log=FALSE) pbetagompertz(x, b=1, c=1, d=1, eta=1, log.p=FALSE, lower.tail=TRUE) varbetagompertz(p, b=1, c=1, d=1, eta=1, log.p=FALSE, lower.tail=TRUE) esbetagompertz(p, b=1, c=1, d=1, eta=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the first scale parameter, must be positive, the default is 1 |
eta |
the value of the second scale parameter, must be positive, the default is 1 |
c |
the value of the first shape parameter, must be positive, the default is 1 |
d |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetagompertz(x) pbetagompertz(x) varbetagompertz(x) esbetagompertz(x)
x=runif(10,min=0,max=1) dbetagompertz(x) pbetagompertz(x) varbetagompertz(x) esbetagompertz(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Gumbel distribution due to Nadarajah and Kotz (2004) given by
for ,
,
, the location parameter,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dbetagumbel(x, a=1, b=1, mu=0, sigma=1, log=FALSE) pbetagumbel(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetagumbel(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetagumbel(p, a=1, b=1, mu=0, sigma=1)
dbetagumbel(x, a=1, b=1, mu=0, sigma=1, log=FALSE) pbetagumbel(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetagumbel(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetagumbel(p, a=1, b=1, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetagumbel(x) pbetagumbel(x) varbetagumbel(x) esbetagumbel(x)
x=runif(10,min=0,max=1) dbetagumbel(x) pbetagumbel(x) varbetagumbel(x) esbetagumbel(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Gumbel II distribution given by
for ,
,
, the first shape parameter,
, the scale parameter,
, the second shape parameter, and
, the third shape parameter.
dbetagumbel2(x, a=1, b=1, c=1, d=1, log=FALSE) pbetagumbel2(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varbetagumbel2(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esbetagumbel2(p, a=1, b=1, c=1, d=1)
dbetagumbel2(x, a=1, b=1, c=1, d=1, log=FALSE) pbetagumbel2(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varbetagumbel2(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esbetagumbel2(p, a=1, b=1, c=1, d=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
d |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetagumbel2(x) pbetagumbel2(x) varbetagumbel2(x) esbetagumbel2(x, a = 2)
x=runif(10,min=0,max=1) dbetagumbel2(x) pbetagumbel2(x) varbetagumbel2(x) esbetagumbel2(x, a = 2)
Computes the pdf, cdf, value at risk and expected shortfall for the beta lognormal distribution due to Castellares et al. (2013) given by
for ,
,
, the location parameter,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter,
where
denotes the pdf of a standard normal random variable,
and
denotes the cdf of a standard normal random variable.
dbetalognorm(x, a=1, b=1, mu=0, sigma=1, log=FALSE) pbetalognorm(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetalognorm(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetalognorm(p, a=1, b=1, mu=0, sigma=1)
dbetalognorm(x, a=1, b=1, mu=0, sigma=1, log=FALSE) pbetalognorm(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetalognorm(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetalognorm(p, a=1, b=1, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetalognorm(x) pbetalognorm(x) varbetalognorm(x) esbetalognorm(x)
x=runif(10,min=0,max=1) dbetalognorm(x) pbetalognorm(x) varbetalognorm(x) esbetalognorm(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Lomax distribution due to Lemonte and Cordeiro (2013) given by
for ,
,
, the first shape parameter,
, the second shape parameter,
, the third shape parameter, and
, the scale parameter.
dbetalomax(x, a=1, b=1, alpha=1, lambda=1, log=FALSE) pbetalomax(x, a=1, b=1, alpha=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varbetalomax(p, a=1, b=1, alpha=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esbetalomax(p, a=1, b=1, alpha=1, lambda=1)
dbetalomax(x, a=1, b=1, alpha=1, lambda=1, log=FALSE) pbetalomax(x, a=1, b=1, alpha=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varbetalomax(p, a=1, b=1, alpha=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esbetalomax(p, a=1, b=1, alpha=1, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first scale parameter, must be positive, the default is 1 |
b |
the value of the second scale parameter, must be positive, the default is 1 |
alpha |
the value of the third scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetalomax(x) pbetalomax(x) varbetalomax(x) esbetalomax(x)
x=runif(10,min=0,max=1) dbetalomax(x) pbetalomax(x) varbetalomax(x) esbetalomax(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta normal distribution due to Eugene et al. (2002) given by
for ,
,
, the location parameter,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dbetanorm(x, mu=0, sigma=1, a=1, b=1, log=FALSE) pbetanorm(x, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varbetanorm(p, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esbetanorm(p, mu=0, sigma=1, a=1, b=1)
dbetanorm(x, mu=0, sigma=1, a=1, b=1, log=FALSE) pbetanorm(x, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varbetanorm(p, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esbetanorm(p, mu=0, sigma=1, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetanorm(x) pbetanorm(x) varbetanorm(x) esbetanorm(x)
x=runif(10,min=0,max=1) dbetanorm(x) pbetanorm(x) varbetanorm(x) esbetanorm(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Pareto distribution due to Akinsete et al. (2008) given by
for ,
,
, the scale parameter,
, the first shape parameter,
, the second shape parameter, and
, the third shape parameter.
dbetapareto(x, K=1, a=1, c=1, d=1, log=FALSE) pbetapareto(x, K=1, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varbetapareto(p, K=1, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esbetapareto(p, K=1, a=1, c=1, d=1)
dbetapareto(x, K=1, a=1, c=1, d=1, log=FALSE) pbetapareto(x, K=1, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varbetapareto(p, K=1, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esbetapareto(p, K=1, a=1, c=1, d=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
K |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
d |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetapareto(x) pbetapareto(x) varbetapareto(x) esbetapareto(x)
x=runif(10,min=0,max=1) dbetapareto(x) pbetapareto(x) varbetapareto(x) esbetapareto(x)
Computes the pdf, cdf, value at risk and expected shortfall for the beta Weibull distribution due to Cordeiro et al. (2012b) given by
for ,
,
, the first shape parameter,
, the second shape parameter,
, the third shape parameter, and
, the scale parameter.
dbetaweibull(x, a=1, b=1, alpha=1, sigma=1, log=FALSE) pbetaweibull(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetaweibull(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetaweibull(p, a=1, b=1, alpha=1, sigma=1)
dbetaweibull(x, a=1, b=1, alpha=1, sigma=1, log=FALSE) pbetaweibull(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varbetaweibull(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esbetaweibull(p, a=1, b=1, alpha=1, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
alpha |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dbetaweibull(x) pbetaweibull(x) varbetaweibull(x) esbetaweibull(x)
x=runif(10,min=0,max=1) dbetaweibull(x) pbetaweibull(x) varbetaweibull(x) esbetaweibull(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Birnbaum-Saunders distribution due to Birnbaum and Saunders (1969a, 1969b) given by
for ,
, and
, the scale parameter.
dBS(x, gamma=1, log=FALSE) pBS(x, gamma=1, log.p=FALSE, lower.tail=TRUE) varBS(p, gamma=1, log.p=FALSE, lower.tail=TRUE) esBS(p, gamma=1)
dBS(x, gamma=1, log=FALSE) pBS(x, gamma=1, log.p=FALSE, lower.tail=TRUE) varBS(p, gamma=1, log.p=FALSE, lower.tail=TRUE) esBS(p, gamma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
gamma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dBS(x) pBS(x) varBS(x) esBS(x)
x=runif(10,min=0,max=1) dBS(x) pBS(x) varBS(x) esBS(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Burr distribution due to Burr (1942) given by
for ,
,
, the scale parameter, and
, the shape parameter,
where
denotes the incomplete beta function.
dburr(x, a=1, b=1, log=FALSE) pburr(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varburr(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esburr(p, a=1, b=1)
dburr(x, a=1, b=1, log=FALSE) pburr(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varburr(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esburr(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dburr(x) pburr(x) varburr(x) esburr(x)
x=runif(10,min=0,max=1) dburr(x) pburr(x) varburr(x) esburr(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Burr XII distribution due to Burr (1942) given by
for ,
,
, the first shape parameter, and
, the second shape parameter.
dburr7(x, k=1, c=1, log=FALSE) pburr7(x, k=1, c=1, log.p=FALSE, lower.tail=TRUE) varburr7(p, k=1, c=1, log.p=FALSE, lower.tail=TRUE) esburr7(p, k=1, c=1)
dburr7(x, k=1, c=1, log=FALSE) pburr7(x, k=1, c=1, log.p=FALSE, lower.tail=TRUE) varburr7(p, k=1, c=1, log.p=FALSE, lower.tail=TRUE) esburr7(p, k=1, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
k |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dburr7(x) pburr7(x) varburr7(x) esburr7(x)
x=runif(10,min=0,max=1) dburr7(x) pburr7(x) varburr7(x) esburr7(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Cauchy distribution given by
for ,
,
, the location parameter, and
, the scale parameter.
dCauchy(x, mu=0, sigma=1, log=FALSE) pCauchy(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varCauchy(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esCauchy(p, mu=0, sigma=1)
dCauchy(x, mu=0, sigma=1, log=FALSE) pCauchy(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varCauchy(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esCauchy(p, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dCauchy(x) pCauchy(x) varCauchy(x) esCauchy(x)
x=runif(10,min=0,max=1) dCauchy(x) pCauchy(x) varCauchy(x) esCauchy(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Chen distribution due to Chen (2000) given by
for ,
,
, the shape parameter, and
, the scale parameter.
dchen(x, b=1, lambda=1, log=FALSE) pchen(x, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varchen(p, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) eschen(p, b=1, lambda=1)
dchen(x, b=1, lambda=1, log=FALSE) pchen(x, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varchen(p, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) eschen(p, b=1, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dchen(x) pchen(x) varchen(x) eschen(x)
x=runif(10,min=0,max=1) dchen(x) pchen(x) varchen(x) eschen(x)
Computes the pdf, cdf, value at risk and expected shortfall for the compound Laplace gamma distribution given by
for ,
,
, the location parameter,
, the scale parameter, and
, the shape parameter.
dclg(x, a=1, b=1, theta=0, log=FALSE) pclg(x, a=1, b=1, theta=0, log.p=FALSE, lower.tail=TRUE) varclg(p, a=1, b=1, theta=0, log.p=FALSE, lower.tail=TRUE) esclg(p, a=1, b=1, theta=0)
dclg(x, a=1, b=1, theta=0, log=FALSE) pclg(x, a=1, b=1, theta=0, log.p=FALSE, lower.tail=TRUE) varclg(p, a=1, b=1, theta=0, log.p=FALSE, lower.tail=TRUE) esclg(p, a=1, b=1, theta=0)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the location parameter, can take any real value, the default is zero |
b |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dclg(x) pclg(x) varclg(x) esclg(x)
x=runif(10,min=0,max=1) dclg(x) pclg(x) varclg(x) esclg(x)
Computes the pdf, cdf, value at risk and expected shortfall for the complementary beta distribution due to Jones (2002) given by
for ,
,
, the first shape parameter, and
, the second shape parameter.
dcompbeta(x, a=1, b=1, log=FALSE) pcompbeta(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varcompbeta(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) escompbeta(p, a=1, b=1)
dcompbeta(x, a=1, b=1, log=FALSE) pcompbeta(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varcompbeta(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) escompbeta(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dcompbeta(x) pcompbeta(x) varcompbeta(x) escompbeta(x)
x=runif(10,min=0,max=1) dcompbeta(x) pcompbeta(x) varcompbeta(x) escompbeta(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Dagum distribution due to Dagum (1975, 1977, 1980) given by
for ,
,
, the first shape parameter,
, the scale parameter, and
, the second shape parameter.
ddagum(x, a=1, b=1, c=1, log=FALSE) pdagum(x, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) vardagum(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esdagum(p, a=1, b=1, c=1)
ddagum(x, a=1, b=1, c=1, log=FALSE) pdagum(x, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) vardagum(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esdagum(p, a=1, b=1, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) ddagum(x) pdagum(x) vardagum(x) esdagum(x)
x=runif(10,min=0,max=1) ddagum(x) pdagum(x) vardagum(x) esdagum(x)
Computes the pdf, cdf, value at risk and expected shortfall for the double Weibull distribution due to Balakrishnan and Kocherlakota (1985) given by
for ,
,
, the location parameter,
, the scale parameter, and
, the shape parameter.
ddweibull(x, c=1, mu=0, sigma=1, log=FALSE) pdweibull(x, c=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vardweibull(p, c=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esdweibull(p, c=1, mu=0, sigma=1)
ddweibull(x, c=1, mu=0, sigma=1, log=FALSE) pdweibull(x, c=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vardweibull(p, c=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esdweibull(p, c=1, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
c |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) ddweibull(x) pdweibull(x) vardweibull(x) esdweibull(x)
x=runif(10,min=0,max=1) ddweibull(x) pdweibull(x) vardweibull(x) esdweibull(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponentiated exponential distribution due to Gupta and Kundu (1999, 2001) given by
for ,
,
, the shape parameter and
, the scale parameter.
dexpexp(x, lambda=1, a=1, log=FALSE) pexpexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varexpexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esexpexp(p, lambda=1, a=1)
dexpexp(x, lambda=1, a=1, log=FALSE) pexpexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varexpexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esexpexp(p, lambda=1, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexpexp(x) pexpexp(x) varexpexp(x) esexpexp(x)
x=runif(10,min=0,max=1) dexpexp(x) pexpexp(x) varexpexp(x) esexpexp(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponential extension distribution due to Nadarajah and Haghighi (2011) given by
for ,
,
, the shape parameter and
, the scale parameter.
dexpext(x, lambda=1, a=1, log=FALSE) pexpext(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varexpext(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esexpext(p, lambda=1, a=1)
dexpext(x, lambda=1, a=1, log=FALSE) pexpext(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varexpext(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esexpext(p, lambda=1, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexpext(x) pexpext(x) varexpext(x) esexpext(x)
x=runif(10,min=0,max=1) dexpext(x) pexpext(x) varexpext(x) esexpext(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponential geometric distribution due to Adamidis and Loukas (1998) given by
for ,
,
, the first scale parameter, and
, the second scale parameter.
dexpgeo(x, theta=0.5, lambda=1, log=FALSE) pexpgeo(x, theta=0.5, lambda=1, log.p=FALSE, lower.tail=TRUE) varexpgeo(p, theta=0.5, lambda=1, log.p=FALSE, lower.tail=TRUE) esexpgeo(p, theta=0.5, lambda=1)
dexpgeo(x, theta=0.5, lambda=1, log=FALSE) pexpgeo(x, theta=0.5, lambda=1, log.p=FALSE, lower.tail=TRUE) varexpgeo(p, theta=0.5, lambda=1, log.p=FALSE, lower.tail=TRUE) esexpgeo(p, theta=0.5, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the first scale parameter, must be in the unit interval, the default is 0.5 |
lambda |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexpgeo(x) pexpgeo(x) varexpgeo(x) esexpgeo(x)
x=runif(10,min=0,max=1) dexpgeo(x) pexpgeo(x) varexpgeo(x) esexpgeo(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponential logarithmic distribution due to Tahmasbi and Rezaei (2008) given by
for ,
,
, the first scale parameter, and
, the second scale parameter.
dexplog(x, a=0.5, b=1, log=FALSE) pexplog(x, a=0.5, b=1, log.p=FALSE, lower.tail=TRUE) varexplog(p, a=0.5, b=1, log.p=FALSE, lower.tail=TRUE) esexplog(p, a=0.5, b=1)
dexplog(x, a=0.5, b=1, log=FALSE) pexplog(x, a=0.5, b=1, log.p=FALSE, lower.tail=TRUE) varexplog(p, a=0.5, b=1, log.p=FALSE, lower.tail=TRUE) esexplog(p, a=0.5, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be in the unit interval, the default is 0.5 |
b |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexplog(x) pexplog(x) varexplog(x) esexplog(x)
x=runif(10,min=0,max=1) dexplog(x) pexplog(x) varexplog(x) esexplog(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponentiated logistic distribution given by
for ,
,
, the shape parameter, and
, the scale parameter.
dexplogis(x, a=1, b=1, log=FALSE) pexplogis(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varexplogis(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esexplogis(p, a=1, b=1)
dexplogis(x, a=1, b=1, log=FALSE) pexplogis(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varexplogis(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esexplogis(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexplogis(x) pexplogis(x) varexplogis(x) esexplogis(x)
x=runif(10,min=0,max=1) dexplogis(x) pexplogis(x) varexplogis(x) esexplogis(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponential distribution given by
for ,
, and
, the scale parameter.
dexponential(x, lambda=1, log=FALSE) pexponential(x, lambda=1, log.p=FALSE, lower.tail=TRUE) varexponential(p, lambda=1, log.p=FALSE, lower.tail=TRUE) esexponential(p, lambda=1)
dexponential(x, lambda=1, log=FALSE) pexponential(x, lambda=1, log.p=FALSE, lower.tail=TRUE) varexponential(p, lambda=1, log.p=FALSE, lower.tail=TRUE) esexponential(p, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexponential(x) pexponential(x) varexponential(x) esexponential(x)
x=runif(10,min=0,max=1) dexponential(x) pexponential(x) varexponential(x) esexponential(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponential Poisson distribution due to Kus (2007) given by
for ,
,
, the first scale parameter, and
, the second scale parameter.
dexppois(x, b=1, lambda=1, log=FALSE) pexppois(x, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varexppois(p, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esexppois(p, b=1, lambda=1)
dexppois(x, b=1, lambda=1, log=FALSE) pexppois(x, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varexppois(p, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esexppois(p, b=1, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the first scale parameter, must be positive, the default is 1 |
lambda |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexppois(x) pexppois(x) varexppois(x) esexppois(x)
x=runif(10,min=0,max=1) dexppois(x) pexppois(x) varexppois(x) esexppois(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponential power distribution due to Subbotin (1923) given by
for ,
,
, the location parameter,
, the scale parameter, and
, the shape parameter.
dexppower(x, mu=0, sigma=1, a=1, log=FALSE) pexppower(x, mu=0, sigma=1, a=1, log.p=FALSE, lower.tail=TRUE) varexppower(p, mu=0, sigma=1, a=1, log.p=FALSE, lower.tail=TRUE) esexppower(p, mu=0, sigma=1, a=1)
dexppower(x, mu=0, sigma=1, a=1, log=FALSE) pexppower(x, mu=0, sigma=1, a=1, log.p=FALSE, lower.tail=TRUE) varexppower(p, mu=0, sigma=1, a=1, log.p=FALSE, lower.tail=TRUE) esexppower(p, mu=0, sigma=1, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexppower(x) pexppower(x) varexppower(x) esexppower(x)
x=runif(10,min=0,max=1) dexppower(x) pexppower(x) varexppower(x) esexppower(x)
Computes the pdf, cdf, value at risk and expected shortfall for the exponentiated Weibull distribution due to Mudholkar and Srivastava (1993) and Mudholkar et al. (1995) given by
for ,
,
, the first shape parameter,
, the second shape parameter, and
, the scale parameter.
dexpweibull(x, a=1, alpha=1, sigma=1, log=FALSE) pexpweibull(x, a=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varexpweibull(p, a=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esexpweibull(p, a=1, alpha=1, sigma=1)
dexpweibull(x, a=1, alpha=1, sigma=1, log=FALSE) pexpweibull(x, a=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varexpweibull(p, a=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esexpweibull(p, a=1, alpha=1, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
alpha |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dexpweibull(x) pexpweibull(x) varexpweibull(x) esexpweibull(x)
x=runif(10,min=0,max=1) dexpweibull(x) pexpweibull(x) varexpweibull(x) esexpweibull(x)
Computes the pdf, cdf, value at risk and expected shortfall for the F distribution given by
for ,
,
, the first degree of freedom parameter,
and
, the second degree of freedom parameter.
dF(x, d1=1, d2=1, log=FALSE) pF(x, d1=1, d2=1, log.p=FALSE, lower.tail=TRUE) varF(p, d1=1, d2=1, log.p=FALSE, lower.tail=TRUE) esF(p, d1=1, d2=1)
dF(x, d1=1, d2=1, log=FALSE) pF(x, d1=1, d2=1, log.p=FALSE, lower.tail=TRUE) varF(p, d1=1, d2=1, log.p=FALSE, lower.tail=TRUE) esF(p, d1=1, d2=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
d1 |
the value of the first degree of freedom parameter, must be positive, the default is 1 |
d2 |
the value of the second degree of freedom parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dF(x) pF(x) varF(x) esF(x)
x=runif(10,min=0,max=1) dF(x) pF(x) varF(x) esF(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Freimer distribution due to Freimer et al. (1988) given by
for ,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
varFR(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esFR(p, a=1, b=1, c=1)
varFR(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esFR(p, a=1, b=1, c=1)
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) varFR(x) esFR(x)
x=runif(10,min=0,max=1) varFR(x) esFR(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'echet distribution due to Fr\'echet (1927) given by
for ,
,
, the shape parameter, and
, the scale parameter,
where
denotes the complementary incomplete gamma function.
dfrechet(x, alpha=1, sigma=1, log=FALSE) pfrechet(x, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varfrechet(p, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esfrechet(p, alpha=1, sigma=1)
dfrechet(x, alpha=1, sigma=1, log=FALSE) pfrechet(x, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varfrechet(p, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esfrechet(p, alpha=1, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
alpha |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dfrechet(x) pfrechet(x) varfrechet(x) esfrechet(x)
x=runif(10,min=0,max=1) dfrechet(x) pfrechet(x) varfrechet(x) esfrechet(x)
Computes the pdf, cdf, value at risk and expected shortfall for the gamma distribution given by
for ,
,
, the scale parameter, and
, the shape parameter,
where
denotes the incomplete gamma function,
denotes the regularized complementary incomplete gamma function,
denotes the gamma function,
and
denotes the inverse of
.
dGamma(x, a=1, b=1, log=FALSE) pGamma(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varGamma(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esGamma(p, a=1, b=1)
dGamma(x, a=1, b=1, log=FALSE) pGamma(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varGamma(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esGamma(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dGamma(x) pGamma(x) varGamma(x) esGamma(x)
x=runif(10,min=0,max=1) dGamma(x) pGamma(x) varGamma(x) esGamma(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized beta distribution given by
for ,
,
, the first shape parameter,
, the second shape parameter,
, the first location parameter, and
, the second location parameter.
dgenbeta(x, a=1, b=1, c=0, d=1, log=FALSE) pgenbeta(x, a=1, b=1, c=0, d=1, log.p=FALSE, lower.tail=TRUE) vargenbeta(p, a=1, b=1, c=0, d=1, log.p=FALSE, lower.tail=TRUE) esgenbeta(p, a=1, b=1, c=0, d=1)
dgenbeta(x, a=1, b=1, c=0, d=1, log=FALSE) pgenbeta(x, a=1, b=1, c=0, d=1, log.p=FALSE, lower.tail=TRUE) vargenbeta(p, a=1, b=1, c=0, d=1, log.p=FALSE, lower.tail=TRUE) esgenbeta(p, a=1, b=1, c=0, d=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
c |
the value of the first location parameter, can take any real value, the default is zero |
d |
the value of the second location parameter, can take any real value but must be greater than c, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenbeta(x) pgenbeta(x) vargenbeta(x) esgenbeta(x)
x=runif(10,min=0,max=1) dgenbeta(x) pgenbeta(x) vargenbeta(x) esgenbeta(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized beta II distribution given by
for ,
,
, the first shape parameter,
, the second shape parameter, and
, the third shape parameter.
dgenbeta2(x, a=1, b=1, c=1, log=FALSE) pgenbeta2(x, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) vargenbeta2(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esgenbeta2(p, a=1, b=1, c=1)
dgenbeta2(x, a=1, b=1, c=1, log=FALSE) pgenbeta2(x, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) vargenbeta2(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esgenbeta2(p, a=1, b=1, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
c |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenbeta2(x) pgenbeta2(x) vargenbeta2(x) esgenbeta2(x)
x=runif(10,min=0,max=1) dgenbeta2(x) pgenbeta2(x) vargenbeta2(x) esgenbeta2(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized inverse beta distribution given by
for ,
,
, the first shape parameter,
, the second shape parameter, and
, the third shape parameter.
dgeninvbeta(x, a=1, c=1, d=1, log=FALSE) pgeninvbeta(x, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) vargeninvbeta(p, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esgeninvbeta(p, a=1, c=1, d=1)
dgeninvbeta(x, a=1, c=1, d=1, log=FALSE) pgeninvbeta(x, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) vargeninvbeta(p, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esgeninvbeta(p, a=1, c=1, d=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
d |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgeninvbeta(x) pgeninvbeta(x) vargeninvbeta(x) esgeninvbeta(x)
x=runif(10,min=0,max=1) dgeninvbeta(x) pgeninvbeta(x) vargeninvbeta(x) esgeninvbeta(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized logistic distribution given by
for ,
,
, the location parameter,
, the scale parameter,
and
, the shape parameter.
dgenlogis(x, a=1, mu=0, sigma=1, log=FALSE) pgenlogis(x, a=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargenlogis(p, a=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgenlogis(p, a=1, mu=0, sigma=1)
dgenlogis(x, a=1, mu=0, sigma=1, log=FALSE) pgenlogis(x, a=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargenlogis(p, a=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgenlogis(p, a=1, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenlogis(x) pgenlogis(x) vargenlogis(x) esgenlogis(x)
x=runif(10,min=0,max=1) dgenlogis(x) pgenlogis(x) vargenlogis(x) esgenlogis(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized logistic III distribution given by
for ,
,
, the location parameter,
, the scale parameter,
and
, the shape parameter.
dgenlogis3(x, alpha=1, mu=0, sigma=1, log=FALSE) pgenlogis3(x, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargenlogis3(p, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgenlogis3(p, alpha=1, mu=0, sigma=1)
dgenlogis3(x, alpha=1, mu=0, sigma=1, log=FALSE) pgenlogis3(x, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargenlogis3(p, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgenlogis3(p, alpha=1, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
alpha |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenlogis3(x) pgenlogis3(x) vargenlogis3(x) esgenlogis3(x)
x=runif(10,min=0,max=1) dgenlogis3(x) pgenlogis3(x) vargenlogis3(x) esgenlogis3(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized logistic IV distribution given by
for ,
,
, the location parameter,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dgenlogis4(x, a=1, alpha=1, mu=0, sigma=1, log=FALSE) pgenlogis4(x, a=1, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargenlogis4(p, a=1, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgenlogis4(p, a=1, alpha=1, mu=0, sigma=1)
dgenlogis4(x, a=1, alpha=1, mu=0, sigma=1, log=FALSE) pgenlogis4(x, a=1, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargenlogis4(p, a=1, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgenlogis4(p, a=1, alpha=1, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
alpha |
the value of the first shape parameter, must be positive, the default is 1 |
a |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenlogis4(x) pgenlogis4(x) vargenlogis4(x) esgenlogis4(x)
x=runif(10,min=0,max=1) dgenlogis4(x) pgenlogis4(x) vargenlogis4(x) esgenlogis4(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized Pareto distribution due to Pickands (1975) given by
for if
,
if
,
if
,
,
, the scale parameter and
, the shape parameter.
dgenpareto(x, k=1, c=1, log=FALSE) pgenpareto(x, k=1, c=1, log.p=FALSE, lower.tail=TRUE) vargenpareto(p, k=1, c=1, log.p=FALSE, lower.tail=TRUE) esgenpareto(p, k=1, c=1)
dgenpareto(x, k=1, c=1, log=FALSE) pgenpareto(x, k=1, c=1, log.p=FALSE, lower.tail=TRUE) vargenpareto(p, k=1, c=1, log.p=FALSE, lower.tail=TRUE) esgenpareto(p, k=1, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
k |
the value of the scale parameter, must be positive, the default is 1 |
c |
the value of the shape parameter, can take any real value, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenpareto(x) pgenpareto(x) vargenpareto(x) esgenpareto(x)
x=runif(10,min=0,max=1) dgenpareto(x) pgenpareto(x) vargenpareto(x) esgenpareto(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized power Weibull distribution due to Nikulin and Haghighi (2006) given by
for ,
,
, the first shape parameter, and
, the second shape parameter.
dgenpowerweibull(x, a=1, theta=1, log=FALSE) pgenpowerweibull(x, a=1, theta=1, log.p=FALSE, lower.tail=TRUE) vargenpowerweibull(p, a=1, theta=1, log.p=FALSE, lower.tail=TRUE) esgenpowerweibull(p, a=1, theta=1)
dgenpowerweibull(x, a=1, theta=1, log=FALSE) pgenpowerweibull(x, a=1, theta=1, log.p=FALSE, lower.tail=TRUE) vargenpowerweibull(p, a=1, theta=1, log.p=FALSE, lower.tail=TRUE) esgenpowerweibull(p, a=1, theta=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
theta |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenpowerweibull(x) pgenpowerweibull(x) vargenpowerweibull(x) esgenpowerweibull(x)
x=runif(10,min=0,max=1) dgenpowerweibull(x) pgenpowerweibull(x) vargenpowerweibull(x) esgenpowerweibull(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized uniform distribution given by
for ,
,
, the location parameter,
, the first shape parameter,
, the scale parameter, and
, the second shape parameter.
dgenunif(x, a=0, c=1, h=1, k=1, log=FALSE) pgenunif(x, a=0, c=1, h=1, k=1, log.p=FALSE, lower.tail=TRUE) vargenunif(p, a=0, c=1, h=1, k=1, log.p=FALSE, lower.tail=TRUE) esgenunif(p, a=0, c=1, h=1, k=1)
dgenunif(x, a=0, c=1, h=1, k=1, log=FALSE) pgenunif(x, a=0, c=1, h=1, k=1, log.p=FALSE, lower.tail=TRUE) vargenunif(p, a=0, c=1, h=1, k=1, log.p=FALSE, lower.tail=TRUE) esgenunif(p, a=0, c=1, h=1, k=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the location parameter, can take any real value, the default is zero |
k |
the value of the scale parameter, must be positive, the default is 1 |
c |
the value of the first scale parameter, must be positive, the default is 1 |
h |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgenunif(x) pgenunif(x) vargenunif(x) esgenunif(x)
x=runif(10,min=0,max=1) dgenunif(x) pgenunif(x) vargenunif(x) esgenunif(x)
Computes the pdf, cdf, value at risk and expected shortfall for the generalized extreme value distribution due to Fisher and Tippett (1928) given by
for if
,
if
,
if
,
,
, the location parameter,
, the scale parameter, and
, the shape parameter.
dgev(x, mu=0, sigma=1, xi=1, log=FALSE) pgev(x, mu=0, sigma=1, xi=1, log.p=FALSE, lower.tail=TRUE) vargev(p, mu=0, sigma=1, xi=1, log.p=FALSE, lower.tail=TRUE) esgev(p, mu=0, sigma=1, xi=1)
dgev(x, mu=0, sigma=1, xi=1, log=FALSE) pgev(x, mu=0, sigma=1, xi=1, log.p=FALSE, lower.tail=TRUE) vargev(p, mu=0, sigma=1, xi=1, log.p=FALSE, lower.tail=TRUE) esgev(p, mu=0, sigma=1, xi=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
xi |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgev(x) pgev(x) vargev(x) esgev(x)
x=runif(10,min=0,max=1) dgev(x) pgev(x) vargev(x) esgev(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Gompertz distribution due to Gompertz (1825) given by
for ,
,
, the first scale parameter and
, the second scale parameter.
dgompertz(x, b=1, eta=1, log=FALSE) pgompertz(x, b=1, eta=1, log.p=FALSE, lower.tail=TRUE) vargompertz(p, b=1, eta=1, log.p=FALSE, lower.tail=TRUE) esgompertz(p, b=1, eta=1)
dgompertz(x, b=1, eta=1, log=FALSE) pgompertz(x, b=1, eta=1, log.p=FALSE, lower.tail=TRUE) vargompertz(p, b=1, eta=1, log.p=FALSE, lower.tail=TRUE) esgompertz(p, b=1, eta=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the first scale parameter, must be positive, the default is 1 |
eta |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgompertz(x) pgompertz(x) vargompertz(x) esgompertz(x)
x=runif(10,min=0,max=1) dgompertz(x) pgompertz(x) vargompertz(x) esgompertz(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Gumbel distribution given by due to Gumbel (1954) given by
for ,
,
, the location parameter, and
, the scale parameter.
dgumbel(x, mu=0, sigma=1, log=FALSE) pgumbel(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargumbel(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgumbel(p, mu=0, sigma=1)
dgumbel(x, mu=0, sigma=1, log=FALSE) pgumbel(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) vargumbel(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esgumbel(p, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgumbel(x) pgumbel(x) vargumbel(x) esgumbel(x)
x=runif(10,min=0,max=1) dgumbel(x) pgumbel(x) vargumbel(x) esgumbel(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Gumbel II distribution
for ,
,
, the shape parameter, and
, the scale parameter.
dgumbel2(x, a=1, b=1, log=FALSE) pgumbel2(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) vargumbel2(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esgumbel2(p, a=1, b=1)
dgumbel2(x, a=1, b=1, log=FALSE) pgumbel2(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) vargumbel2(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esgumbel2(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dgumbel2(x) pgumbel2(x) vargumbel2(x) esgumbel2(x)
x=runif(10,min=0,max=1) dgumbel2(x) pgumbel2(x) vargumbel2(x) esgumbel2(x)
Computes the pdf, cdf, value at risk and expected shortfall for the half Cauchy distribution given by
for ,
, and
, the scale parameter.
dhalfcauchy(x, sigma=1, log=FALSE) phalfcauchy(x, sigma=1, log.p=FALSE, lower.tail=TRUE) varhalfcauchy(p, sigma=1, log.p=FALSE, lower.tail=TRUE) eshalfcauchy(p, sigma=1)
dhalfcauchy(x, sigma=1, log=FALSE) phalfcauchy(x, sigma=1, log.p=FALSE, lower.tail=TRUE) varhalfcauchy(p, sigma=1, log.p=FALSE, lower.tail=TRUE) eshalfcauchy(p, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dhalfcauchy(x) phalfcauchy(x) varhalfcauchy(x) eshalfcauchy(x)
x=runif(10,min=0,max=1) dhalfcauchy(x) phalfcauchy(x) varhalfcauchy(x) eshalfcauchy(x)
Computes the pdf, cdf, value at risk and expected shortfall for the half logistic distribution given by
for ,
, and
, the scale parameter.
dhalflogis(x, lambda=1, log=FALSE) phalflogis(x, lambda=1, log.p=FALSE, lower.tail=TRUE) varhalflogis(p, lambda=1, log.p=FALSE, lower.tail=TRUE) eshalflogis(p, lambda=1)
dhalflogis(x, lambda=1, log=FALSE) phalflogis(x, lambda=1, log.p=FALSE, lower.tail=TRUE) varhalflogis(p, lambda=1, log.p=FALSE, lower.tail=TRUE) eshalflogis(p, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dhalflogis(x) phalflogis(x) varhalflogis(x) eshalflogis(x)
x=runif(10,min=0,max=1) dhalflogis(x) phalflogis(x) varhalflogis(x) eshalflogis(x)
Computes the pdf, cdf, value at risk and expected shortfall for Half normal distribution given by
for ,
, and
, the scale parameter.
dhalfnorm(x, sigma=1, log=FALSE) phalfnorm(x, sigma=1, log.p=FALSE, lower.tail=TRUE) varhalfnorm(p, sigma=1, log.p=FALSE, lower.tail=TRUE) eshalfnorm(p, sigma=1)
dhalfnorm(x, sigma=1, log=FALSE) phalfnorm(x, sigma=1, log.p=FALSE, lower.tail=TRUE) varhalfnorm(p, sigma=1, log.p=FALSE, lower.tail=TRUE) eshalfnorm(p, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dhalfnorm(x) phalfnorm(x) varhalfnorm(x) eshalfnorm(x)
x=runif(10,min=0,max=1) dhalfnorm(x) phalfnorm(x) varhalfnorm(x) eshalfnorm(x)
Computes the pdf, cdf, value at risk and expected shortfall for the half Student's distribution given by
for ,
, and
, the degree of freedom parameter.
dhalfT(x, n=1, log=FALSE) phalfT(x, n=1, log.p=FALSE, lower.tail=TRUE) varhalfT(p, n=1, log.p=FALSE, lower.tail=TRUE) eshalfT(p, n=1)
dhalfT(x, n=1, log=FALSE) phalfT(x, n=1, log.p=FALSE, lower.tail=TRUE) varhalfT(p, n=1, log.p=FALSE, lower.tail=TRUE) eshalfT(p, n=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
n |
the value of the degree of freedom parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dhalfT(x) phalfT(x) varhalfT(x) eshalfT(x)
x=runif(10,min=0,max=1) dhalfT(x) phalfT(x) varhalfT(x) eshalfT(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Holla-Bhattacharya Laplace distribution due to Holla and Bhattacharya (1968) given by
for ,
,
, the location parameter,
, the first scale parameter, and
, the second scale parameter.
dHBlaplace(x, a=0.5, theta=0, phi=1, log=FALSE) pHBlaplace(x, a=0.5, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) varHBlaplace(p, a=0.5, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) esHBlaplace(p, a=0.5, theta=0, phi=1)
dHBlaplace(x, a=0.5, theta=0, phi=1, log=FALSE) pHBlaplace(x, a=0.5, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) varHBlaplace(p, a=0.5, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) esHBlaplace(p, a=0.5, theta=0, phi=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the location parameter, can take any real value, the default is zero |
a |
the value of the first scale parameter, must be in the unit interval, the default is 0.5 |
phi |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dHBlaplace(x) pHBlaplace(x) varHBlaplace(x) esHBlaplace(x)
x=runif(10,min=0,max=1) dHBlaplace(x) pHBlaplace(x) varHBlaplace(x) esHBlaplace(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Hankin-Lee distribution due to Hankin and Lee (2006) given by
for ,
, the scale parameter,
, the first shape parameter,
and
, the second shape parameter.
varHL(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esHL(p, a=1, b=1, c=1)
varHL(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) esHL(p, a=1, b=1, c=1)
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
c |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) varHL(x) esHL(x)
x=runif(10,min=0,max=1) varHL(x) esHL(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Hosking logistic distribution due to Hosking (1989, 1990) given by
for if
,
if
,
if
,
and
, the shape parameter.
dHlogis(x, k=1, log=FALSE) pHlogis(x, k=1, log.p=FALSE, lower.tail=TRUE) varHlogis(p, k=1, log.p=FALSE, lower.tail=TRUE) esHlogis(p, k=1)
dHlogis(x, k=1, log=FALSE) pHlogis(x, k=1, log.p=FALSE, lower.tail=TRUE) varHlogis(p, k=1, log.p=FALSE, lower.tail=TRUE) esHlogis(p, k=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
k |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dHlogis(x) pHlogis(x) varHlogis(x) esHlogis(x)
x=runif(10,min=0,max=1) dHlogis(x) pHlogis(x) varHlogis(x) esHlogis(x)
Computes the pdf, cdf, value at risk and expected shortfall for the inverse beta distribution given by
for ,
,
, the first shape parameter, and
, the second shape parameter.
dinvbeta(x, a=1, b=1, log=FALSE) pinvbeta(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varinvbeta(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esinvbeta(p, a=1, b=1)
dinvbeta(x, a=1, b=1, log=FALSE) pinvbeta(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varinvbeta(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esinvbeta(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dinvbeta(x) pinvbeta(x) varinvbeta(x) esinvbeta(x)
x=runif(10,min=0,max=1) dinvbeta(x) pinvbeta(x) varinvbeta(x) esinvbeta(x)
Computes the pdf, cdf, value at risk and expected shortfall for the inverse exponentiated exponential distribution due to Ghitany et al. (2013) given by
for ,
,
, the shape parameter and
, the scale parameter.
dinvexpexp(x, lambda=1, a=1, log=FALSE) pinvexpexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varinvexpexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esinvexpexp(p, lambda=1, a=1)
dinvexpexp(x, lambda=1, a=1, log=FALSE) pinvexpexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varinvexpexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esinvexpexp(p, lambda=1, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dinvexpexp(x) pinvexpexp(x) varinvexpexp(x) esinvexpexp(x)
x=runif(10,min=0,max=1) dinvexpexp(x) pinvexpexp(x) varinvexpexp(x) esinvexpexp(x)
Computes the pdf, cdf, value at risk and expected shortfall for the inverse gamma distribution given by
for ,
,
, the shape parameter, and
, the scale parameter.
dinvgamma(x, a=1, b=1, log=FALSE) pinvgamma(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varinvgamma(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esinvgamma(p, a=1, b=1)
dinvgamma(x, a=1, b=1, log=FALSE) pinvgamma(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varinvgamma(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esinvgamma(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dinvgamma(x) pinvgamma(x) varinvgamma(x) esinvgamma(x)
x=runif(10,min=0,max=1) dinvgamma(x) pinvgamma(x) varinvgamma(x) esinvgamma(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy distribution due to Kumaraswamy (1980) given by
for ,
,
, the first shape parameter, and
, the second shape parameter.
dkum(x, a=1, b=1, log=FALSE) pkum(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkum(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskum(p, a=1, b=1)
dkum(x, a=1, b=1, log=FALSE) pkum(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkum(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskum(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkum(x) pkum(x) varkum(x) eskum(x)
x=runif(10,min=0,max=1) dkum(x) pkum(x) varkum(x) eskum(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'iba et al. (2013) given by
for ,
,
, the first shape parameter,
, the second shape parameter,
, the third shape parameter, and
, the fourth shape parameter.
dkumburr7(x, a=1, b=1, k=1, c=1, log=FALSE) pkumburr7(x, a=1, b=1, k=1, c=1, log.p=FALSE, lower.tail=TRUE) varkumburr7(p, a=1, b=1, k=1, c=1, log.p=FALSE, lower.tail=TRUE) eskumburr7(p, a=1, b=1, k=1, c=1)
dkumburr7(x, a=1, b=1, k=1, c=1, log=FALSE) pkumburr7(x, a=1, b=1, k=1, c=1, log.p=FALSE, lower.tail=TRUE) varkumburr7(p, a=1, b=1, k=1, c=1, log.p=FALSE, lower.tail=TRUE) eskumburr7(p, a=1, b=1, k=1, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
c |
the value of the third shape parameter, must be positive, the default is 1 |
k |
the value of the fourth shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumburr7(x) pkumburr7(x) varkumburr7(x) eskumburr7(x)
x=runif(10,min=0,max=1) dkumburr7(x) pkumburr7(x) varkumburr7(x) eskumburr7(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy exponential distribution due to Cordeiro and de Castro (2011) given by
for ,
,
, the first shape parameter,
, the second shape parameter, and
, the scale parameter.
dkumexp(x, lambda=1, a=1, b=1, log=FALSE) pkumexp(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkumexp(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskumexp(p, lambda=1, a=1, b=1)
dkumexp(x, lambda=1, a=1, b=1, log=FALSE) pkumexp(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkumexp(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskumexp(p, lambda=1, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumexp(x) pkumexp(x) varkumexp(x) eskumexp(x)
x=runif(10,min=0,max=1) dkumexp(x) pkumexp(x) varkumexp(x) eskumexp(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy gamma distribution due to de Pascoa et al. (2011) given by
for ,
,
, the first shape parameter,
, the scale parameter,
, the second shape parameter, and
, the third shape parameter.
dkumgamma(x, a=1, b=1, c=1, d=1, log=FALSE) pkumgamma(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varkumgamma(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) eskumgamma(p, a=1, b=1, c=1, d=1)
dkumgamma(x, a=1, b=1, c=1, d=1, log=FALSE) pkumgamma(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) varkumgamma(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) eskumgamma(p, a=1, b=1, c=1, d=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
d |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumgamma(x) pkumgamma(x) varkumgamma(x) eskumgamma(x)
x=runif(10,min=0,max=1) dkumgamma(x) pkumgamma(x) varkumgamma(x) eskumgamma(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Gumbel distribution due to Cordeiro et al. (2012a) given by
for ,
,
, the location parameter,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dkumgumbel(x, a=1, b=1, mu=0, sigma=1, log=FALSE) pkumgumbel(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varkumgumbel(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eskumgumbel(p, a=1, b=1, mu=0, sigma=1)
dkumgumbel(x, a=1, b=1, mu=0, sigma=1, log=FALSE) pkumgumbel(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varkumgumbel(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eskumgumbel(p, a=1, b=1, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumgumbel(x) pkumgumbel(x) varkumgumbel(x) eskumgumbel(x)
x=runif(10,min=0,max=1) dkumgumbel(x) pkumgumbel(x) varkumgumbel(x) eskumgumbel(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy half normal distribution due to Cordeiro et al. (2012c) given by
for ,
,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dkumhalfnorm(x, sigma=1, a=1, b=1, log=FALSE) pkumhalfnorm(x, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkumhalfnorm(p, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskumhalfnorm(p, sigma=1, a=1, b=1)
dkumhalfnorm(x, sigma=1, a=1, b=1, log=FALSE) pkumhalfnorm(x, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkumhalfnorm(p, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskumhalfnorm(p, sigma=1, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumhalfnorm(x) pkumhalfnorm(x) varkumhalfnorm(x) eskumhalfnorm(x)
x=runif(10,min=0,max=1) dkumhalfnorm(x) pkumhalfnorm(x) varkumhalfnorm(x) eskumhalfnorm(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy log-logistic distribution due to de Santana et al. (2012) given by
for ,
,
, the scale parameter,
, the first shape parameter,
, the second shape parameter, and
, the third shape parameter.
dkumloglogis(x, a=1, b=1, alpha=1, beta=1, log=FALSE) pkumloglogis(x, a=1, b=1, alpha=1, beta=1, log.p=FALSE, lower.tail=TRUE) varkumloglogis(p, a=1, b=1, alpha=1, beta=1, log.p=FALSE, lower.tail=TRUE) eskumloglogis(p, a=1, b=1, alpha=1, beta=1)
dkumloglogis(x, a=1, b=1, alpha=1, beta=1, log=FALSE) pkumloglogis(x, a=1, b=1, alpha=1, beta=1, log.p=FALSE, lower.tail=TRUE) varkumloglogis(p, a=1, b=1, alpha=1, beta=1, log.p=FALSE, lower.tail=TRUE) eskumloglogis(p, a=1, b=1, alpha=1, beta=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
alpha |
the value of the scale parameter, must be positive, the default is 1 |
beta |
the value of the first shape parameter, must be positive, the default is 1 |
a |
the value of the second shape parameter, must be positive, the default is 1 |
b |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumloglogis(x) pkumloglogis(x) varkumloglogis(x) eskumloglogis(x)
x=runif(10,min=0,max=1) dkumloglogis(x) pkumloglogis(x) varkumloglogis(x) eskumloglogis(x)
Computes the pdf, cdf, value at risk and expected shortfall for Kumaraswamy normal distribution due to Cordeiro and de Castro (2011) given by
for ,
,
, the location parameter,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dkumnormal(x, mu=0, sigma=1, a=1, b=1, log=FALSE) pkumnormal(x, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkumnormal(p, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskumnormal(p, mu=0, sigma=1, a=1, b=1)
dkumnormal(x, mu=0, sigma=1, a=1, b=1, log=FALSE) pkumnormal(x, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varkumnormal(p, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eskumnormal(p, mu=0, sigma=1, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumnormal(x) pkumnormal(x) varkumnormal(x) eskumnormal(x)
x=runif(10,min=0,max=1) dkumnormal(x) pkumnormal(x) varkumnormal(x) eskumnormal(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Pareto distribution due to Pereira et al. (2013) given by
for ,
,
, the scale parameter,
, the first shape parameter,
, the second shape parameter, and
, the third shape parameter.
dkumpareto(x, K=1, a=1, b=1, c=1, log=FALSE) pkumpareto(x, K=1, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) varkumpareto(p, K=1, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) eskumpareto(p, K=1, a=1, b=1, c=1)
dkumpareto(x, K=1, a=1, b=1, c=1, log=FALSE) pkumpareto(x, K=1, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) varkumpareto(p, K=1, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE) eskumpareto(p, K=1, a=1, b=1, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
K |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
c |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumpareto(x) pkumpareto(x) varkumpareto(x) eskumpareto(x)
x=runif(10,min=0,max=1) dkumpareto(x) pkumpareto(x) varkumpareto(x) eskumpareto(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Weibull distribution due to Cordeiro et al. (2010) given by
for ,
,
, the first shape parameter,
, the second shape parameter,
, the third shape parameter, and
, the scale parameter.
dkumweibull(x, a=1, b=1, alpha=1, sigma=1, log=FALSE) pkumweibull(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varkumweibull(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) eskumweibull(p, a=1, b=1, alpha=1, sigma=1)
dkumweibull(x, a=1, b=1, alpha=1, sigma=1, log=FALSE) pkumweibull(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varkumweibull(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) eskumweibull(p, a=1, b=1, alpha=1, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
alpha |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dkumweibull(x) pkumweibull(x) varkumweibull(x) eskumweibull(x)
x=runif(10,min=0,max=1) dkumweibull(x) pkumweibull(x) varkumweibull(x) eskumweibull(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Laplace distribution due to due to Laplace (1774) given by
for ,
,
, the location parameter, and
, the scale parameter.
dlaplace(x, mu=0, sigma=1, log=FALSE) plaplace(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlaplace(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslaplace(p, mu=0, sigma=1)
dlaplace(x, mu=0, sigma=1, log=FALSE) plaplace(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlaplace(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslaplace(p, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlaplace(x) plaplace(x) varlaplace(x) eslaplace(x)
x=runif(10,min=0,max=1) dlaplace(x) plaplace(x) varlaplace(x) eslaplace(x)
Computes the pdf, cdf, value at risk and expected shortfall for the linear failure rate distribution due to Bain (1974) given by
for ,
,
, the first scale parameter, and
, the second scale parameter.
dlfr(x, a=1, b=1, log=FALSE) plfr(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varlfr(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eslfr(p, a=1, b=1)
dlfr(x, a=1, b=1, log=FALSE) plfr(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varlfr(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) eslfr(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
b |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlfr(x) plfr(x) varlfr(x) eslfr(x)
x=runif(10,min=0,max=1) dlfr(x) plfr(x) varlfr(x) eslfr(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Libby-Novick beta distribution due to Libby and Novick (1982) given by
for ,
,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dLNbeta(x, lambda=1, a=1, b=1, log=FALSE) pLNbeta(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varLNbeta(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esLNbeta(p, lambda=1, a=1, b=1)
dLNbeta(x, lambda=1, a=1, b=1, log=FALSE) pLNbeta(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varLNbeta(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esLNbeta(p, lambda=1, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dLNbeta(x) pLNbeta(x) varLNbeta(x) esLNbeta(x)
x=runif(10,min=0,max=1) dLNbeta(x) pLNbeta(x) varLNbeta(x) esLNbeta(x)
Computes the pdf, cdf, value at risk and expected shortfall for the log beta distribution given by
for ,
,
, the first shape parameter,
, the second shape parameter,
, the first location parameter, and
, the second location parameter.
dlogbeta(x, a=1, b=1, c=1, d=2, log=FALSE) plogbeta(x, a=1, b=1, c=1, d=2, log.p=FALSE, lower.tail=TRUE) varlogbeta(p, a=1, b=1, c=1, d=2, log.p=FALSE, lower.tail=TRUE) eslogbeta(p, a=1, b=1, c=1, d=2)
dlogbeta(x, a=1, b=1, c=1, d=2, log=FALSE) plogbeta(x, a=1, b=1, c=1, d=2, log.p=FALSE, lower.tail=TRUE) varlogbeta(p, a=1, b=1, c=1, d=2, log.p=FALSE, lower.tail=TRUE) eslogbeta(p, a=1, b=1, c=1, d=2)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
c |
the value of the first location parameter, must be positive, the default is 1 |
d |
the value of the second location parameter, must be positive and greater than c, the default is 2 |
a |
the value of the first scale parameter, must be positive, the default is 1 |
b |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlogbeta(x) plogbeta(x) varlogbeta(x) eslogbeta(x)
x=runif(10,min=0,max=1) dlogbeta(x) plogbeta(x) varlogbeta(x) eslogbeta(x)
Computes the pdf, cdf, value at risk and expected shortfall for the log Cauchy distribution given by
for ,
,
, the location parameter, and
, the scale parameter.
dlogcauchy(x, mu=0, sigma=1, log=FALSE) plogcauchy(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlogcauchy(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslogcauchy(p, mu=0, sigma=1)
dlogcauchy(x, mu=0, sigma=1, log=FALSE) plogcauchy(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlogcauchy(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslogcauchy(p, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlogcauchy(x) plogcauchy(x) varlogcauchy(x) eslogcauchy(x)
x=runif(10,min=0,max=1) dlogcauchy(x) plogcauchy(x) varlogcauchy(x) eslogcauchy(x)
Computes the pdf, cdf, value at risk and expected shortfall for the log gamma distribution due to Consul and Jain (1971) given by
for ,
,
, the first shape parameter, and
, the second shape parameter.
dloggamma(x, a=1, r=1, log=FALSE) ploggamma(x, a=1, r=1, log.p=FALSE, lower.tail=TRUE) varloggamma(p, a=1, r=1, log.p=FALSE, lower.tail=TRUE) esloggamma(p, a=1, r=1)
dloggamma(x, a=1, r=1, log=FALSE) ploggamma(x, a=1, r=1, log.p=FALSE, lower.tail=TRUE) varloggamma(p, a=1, r=1, log.p=FALSE, lower.tail=TRUE) esloggamma(p, a=1, r=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
r |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dloggamma(x) ploggamma(x) varloggamma(x) esloggamma(x)
x=runif(10,min=0,max=1) dloggamma(x) ploggamma(x) varloggamma(x) esloggamma(x)
Computes the pdf, cdf, value at risk and expected shortfall for the logistic exponential distribution due to Lan and Leemis (2008) given by
for ,
,
, the shape parameter and
, the scale parameter.
dlogisexp(x, lambda=1, a=1, log=FALSE) plogisexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varlogisexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) eslogisexp(p, lambda=1, a=1)
dlogisexp(x, lambda=1, a=1, log=FALSE) plogisexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varlogisexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) eslogisexp(p, lambda=1, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlogisexp(x) plogisexp(x) varlogisexp(x) eslogisexp(x)
x=runif(10,min=0,max=1) dlogisexp(x) plogisexp(x) varlogisexp(x) eslogisexp(x)
Computes the pdf, cdf, value at risk and expected shortfall for the logistic Rayleigh distribution due to Lan and Leemis (2008) given by
for ,
,
, the shape parameter, and
, the scale parameter.
dlogisrayleigh(x, a=1, lambda=1, log=FALSE) plogisrayleigh(x, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varlogisrayleigh(p, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) eslogisrayleigh(p, a=1, lambda=1)
dlogisrayleigh(x, a=1, lambda=1, log=FALSE) plogisrayleigh(x, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varlogisrayleigh(p, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) eslogisrayleigh(p, a=1, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlogisrayleigh(x) plogisrayleigh(x) varlogisrayleigh(x) eslogisrayleigh(x)
x=runif(10,min=0,max=1) dlogisrayleigh(x) plogisrayleigh(x) varlogisrayleigh(x) eslogisrayleigh(x)
Computes the pdf, cdf, value at risk and expected shortfall for the logistic distribution given by
for ,
,
, the location parameter, and
, the scale parameter.
dlogistic(x, mu=0, sigma=1, log=FALSE) plogistic(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlogistic(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslogistic(p, mu=0, sigma=1)
dlogistic(x, mu=0, sigma=1, log=FALSE) plogistic(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlogistic(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslogistic(p, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlogistic(x) plogistic(x) varlogistic(x) eslogistic(x)
x=runif(10,min=0,max=1) dlogistic(x) plogistic(x) varlogistic(x) eslogistic(x)
Computes the pdf, cdf, value at risk and expected shortfall for the log Laplace distribution given by
for ,
,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dloglaplace(x, a=1, b=1, delta=0, log=FALSE) ploglaplace(x, a=1, b=1, delta=0, log.p=FALSE, lower.tail=TRUE) varloglaplace(p, a=1, b=1, delta=0, log.p=FALSE, lower.tail=TRUE) esloglaplace(p, a=1, b=1, delta=0)
dloglaplace(x, a=1, b=1, delta=0, log=FALSE) ploglaplace(x, a=1, b=1, delta=0, log.p=FALSE, lower.tail=TRUE) varloglaplace(p, a=1, b=1, delta=0, log.p=FALSE, lower.tail=TRUE) esloglaplace(p, a=1, b=1, delta=0)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
delta |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dloglaplace(x) ploglaplace(x) varloglaplace(x) esloglaplace(x)
x=runif(10,min=0,max=1) dloglaplace(x) ploglaplace(x) varloglaplace(x) esloglaplace(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Loglog distribution due to Pham (2002) given by
for ,
,
, the shape parameter, and
, the scale parameter.
dloglog(x, a=1, lambda=2, log=FALSE) ploglog(x, a=1, lambda=2, log.p=FALSE, lower.tail=TRUE) varloglog(p, a=1, lambda=2, log.p=FALSE, lower.tail=TRUE) esloglog(p, a=1, lambda=2)
dloglog(x, a=1, lambda=2, log=FALSE) ploglog(x, a=1, lambda=2, log.p=FALSE, lower.tail=TRUE) varloglog(p, a=1, lambda=2, log.p=FALSE, lower.tail=TRUE) esloglog(p, a=1, lambda=2)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be greater than 1, the default is 2 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dloglog(x) ploglog(x) varloglog(x) esloglog(x)
x=runif(10,min=0,max=1) dloglog(x) ploglog(x) varloglog(x) esloglog(x)
Computes the pdf, cdf, value at risk and expected shortfall for the log-logistic distribution given by
for ,
,
, the scale parameter, and
, the shape parameter,
where
denotes the incomplete beta function.
dloglogis(x, a=1, b=1, log=FALSE) ploglogis(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varloglogis(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esloglogis(p, a=1, b=1)
dloglogis(x, a=1, b=1, log=FALSE) ploglogis(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varloglogis(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esloglogis(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dloglogis(x) ploglogis(x) varloglogis(x) esloglogis(x)
x=runif(10,min=0,max=1) dloglogis(x) ploglogis(x) varloglogis(x) esloglogis(x)
Computes the pdf, cdf, value at risk and expected shortfall for the lognormal distribution given by
for ,
,
, the location parameter, and
, the scale parameter.
dlognorm(x, mu=0, sigma=1, log=FALSE) plognorm(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlognorm(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslognorm(p, mu=0, sigma=1)
dlognorm(x, mu=0, sigma=1, log=FALSE) plognorm(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varlognorm(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) eslognorm(p, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlognorm(x) plognorm(x) varlognorm(x) eslognorm(x)
x=runif(10,min=0,max=1) dlognorm(x) plognorm(x) varlognorm(x) eslognorm(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Lomax distribution due to Lomax (1954) given by
for ,
,
, the shape parameter, and
, the scale parameter.
dlomax(x, a=1, lambda=1, log=FALSE) plomax(x, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varlomax(p, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) eslomax(p, a=1, lambda=1)
dlomax(x, a=1, lambda=1, log=FALSE) plomax(x, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varlomax(p, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE) eslomax(p, a=1, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dlomax(x) plomax(x) varlomax(x) eslomax(x)
x=runif(10,min=0,max=1) dlomax(x) plomax(x) varlomax(x) eslomax(x)
Computes the pdf, cdf, value at risk and expected shortfall for the McGill Laplace distribution due to McGill (1962) given by
for ,
,
, the location parameter,
, the first scale parameter, and
, the second scale parameter.
dMlaplace(x, theta=0, phi=1, psi=1, log=FALSE) pMlaplace(x, theta=0, phi=1, psi=1, log.p=FALSE, lower.tail=TRUE) varMlaplace(p, theta=0, phi=1, psi=1, log.p=FALSE, lower.tail=TRUE) esMlaplace(p, theta=0, phi=1, psi=1)
dMlaplace(x, theta=0, phi=1, psi=1, log=FALSE) pMlaplace(x, theta=0, phi=1, psi=1, log.p=FALSE, lower.tail=TRUE) varMlaplace(p, theta=0, phi=1, psi=1, log.p=FALSE, lower.tail=TRUE) esMlaplace(p, theta=0, phi=1, psi=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the location parameter, can take any real value, the default is zero |
phi |
the value of the first scale parameter, must be positive, the default is 1 |
psi |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dMlaplace(x) pMlaplace(x) varMlaplace(x) esMlaplace(x)
x=runif(10,min=0,max=1) dMlaplace(x) pMlaplace(x) varMlaplace(x) esMlaplace(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Marshall-Olkin exponential distribution due to Marshall and Olkin (1997) given by
for ,
,
, the first scale parameter and
, the second scale parameter.
dmoexp(x, lambda=1, a=1, log=FALSE) pmoexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varmoexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esmoexp(p, lambda=1, a=1)
dmoexp(x, lambda=1, a=1, log=FALSE) pmoexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) varmoexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE) esmoexp(p, lambda=1, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
lambda |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dmoexp(x) pmoexp(x) varmoexp(x) esmoexp(x)
x=runif(10,min=0,max=1) dmoexp(x) pmoexp(x) varmoexp(x) esmoexp(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Marshall-Olkin Weibull distribution due to Marshall and Olkin (1997) given by
for ,
,
, the first scale parameter,
, the shape parameter,
and
, the second scale parameter.
dmoweibull(x, a=1, b=1, lambda=1, log=FALSE) pmoweibull(x, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varmoweibull(p, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esmoweibull(p, a=1, b=1, lambda=1)
dmoweibull(x, a=1, b=1, lambda=1, log=FALSE) pmoweibull(x, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varmoweibull(p, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esmoweibull(p, a=1, b=1, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
lambda |
the value of the second scale parameter, must be positive, the default is 1 |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dmoweibull(x) pmoweibull(x) varmoweibull(x) esmoweibull(x)
x=runif(10,min=0,max=1) dmoweibull(x) pmoweibull(x) varmoweibull(x) esmoweibull(x)
Computes the pdf, cdf, value at risk and expected shortfall for the McDonald-Richards beta distribution due to McDonald and Richards (1987a, 1987b) given by
for ,
,
, the scale parameter,
, the first shape parameter,
, the second shape parameter, and
, the third shape parameter.
dMRbeta(x, a=1, b=1, r=1, q=1, log=FALSE) pMRbeta(x, a=1, b=1, r=1, q=1, log.p=FALSE, lower.tail=TRUE) varMRbeta(p, a=1, b=1, r=1, q=1, log.p=FALSE, lower.tail=TRUE) esMRbeta(p, a=1, b=1, r=1, q=1)
dMRbeta(x, a=1, b=1, r=1, q=1, log=FALSE) pMRbeta(x, a=1, b=1, r=1, q=1, log.p=FALSE, lower.tail=TRUE) varMRbeta(p, a=1, b=1, r=1, q=1, log.p=FALSE, lower.tail=TRUE) esMRbeta(p, a=1, b=1, r=1, q=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
q |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the first shape parameter, must be positive, the default is 1 |
b |
the value of the second shape parameter, must be positive, the default is 1 |
r |
the value of the third shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dMRbeta(x) pMRbeta(x) varMRbeta(x) esMRbeta(x)
x=runif(10,min=0,max=1) dMRbeta(x) pMRbeta(x) varMRbeta(x) esMRbeta(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Nakagami distribution due to Nakagami (1960) given by
for ,
,
, the scale parameter, and
, the shape parameter.
dnakagami(x, m=1, a=1, log=FALSE) pnakagami(x, m=1, a=1, log.p=FALSE, lower.tail=TRUE) varnakagami(p, m=1, a=1, log.p=FALSE, lower.tail=TRUE) esnakagami(p, m=1, a=1)
dnakagami(x, m=1, a=1, log=FALSE) pnakagami(x, m=1, a=1, log.p=FALSE, lower.tail=TRUE) varnakagami(p, m=1, a=1, log.p=FALSE, lower.tail=TRUE) esnakagami(p, m=1, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the scale parameter, must be positive, the default is 1 |
m |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dnakagami(x) pnakagami(x) varnakagami(x) esnakagami(x)
x=runif(10,min=0,max=1) dnakagami(x) pnakagami(x) varnakagami(x) esnakagami(x)
Computes the pdf, cdf, value at risk and expected shortfall for the normal distribution due to de Moivre (1738) and Gauss (1809) given by
for ,
,
, the location parameter, and
, the scale parameter,
where
denotes the pdf of a standard normal random variable,
and
denotes the cdf of a standard normal random variable.
dnormal(x, mu=0, sigma=1, log=FALSE) pnormal(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varnormal(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esnormal(p, mu=0, sigma=1)
dnormal(x, mu=0, sigma=1, log=FALSE) pnormal(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) varnormal(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE) esnormal(p, mu=0, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dnormal(x) pnormal(x) varnormal(x) esnormal(x)
x=runif(10,min=0,max=1) dnormal(x) pnormal(x) varnormal(x) esnormal(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Pareto distribution due to Pareto (1964) given by
for ,
,
, the scale parameter, and
, the shape parameter.
dpareto(x, K=1, c=1, log=FALSE) ppareto(x, K=1, c=1, log.p=FALSE, lower.tail=TRUE) varpareto(p, K=1, c=1, log.p=FALSE, lower.tail=TRUE) espareto(p, K=1, c=1)
dpareto(x, K=1, c=1, log=FALSE) ppareto(x, K=1, c=1, log.p=FALSE, lower.tail=TRUE) varpareto(p, K=1, c=1, log.p=FALSE, lower.tail=TRUE) espareto(p, K=1, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
K |
the value of the scale parameter, must be positive, the default is 1 |
c |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dpareto(x) ppareto(x) varpareto(x) espareto(x)
x=runif(10,min=0,max=1) dpareto(x) ppareto(x) varpareto(x) espareto(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Pareto positive stable distribution due to Sarabia and Prieto (2009) and Guillen et al. (2011) given by
for ,
,
, the first scale parameter,
, the second scale parameter, and
, the shape parameter.
dparetostable(x, lambda=1, nu=1, sigma=1, log=FALSE) pparetostable(x, lambda=1, nu=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varparetostable(p, lambda=1, nu=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esparetostable(p, lambda=1, nu=1, sigma=1)
dparetostable(x, lambda=1, nu=1, sigma=1, log=FALSE) pparetostable(x, lambda=1, nu=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varparetostable(p, lambda=1, nu=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esparetostable(p, lambda=1, nu=1, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the first scale parameter, must be positive, the default is 1 |
sigma |
the value of the second scale parameter, must be positive, the default is 1 |
nu |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dparetostable(x) pparetostable(x) varparetostable(x) esparetostable(x)
x=runif(10,min=0,max=1) dparetostable(x) pparetostable(x) varparetostable(x) esparetostable(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Poiraud-Casanova-Thomas-Agnan Laplace distribution due to Poiraud-Casanova and Thomas-Agnan (2000) given by
for ,
,
, the location parameter, and
, the scale parameter.
dPCTAlaplace(x, a=0.5, theta=0, log=FALSE) pPCTAlaplace(x, a=0.5, theta=0, log.p=FALSE, lower.tail=TRUE) varPCTAlaplace(p, a=0.5, theta=0, log.p=FALSE, lower.tail=TRUE) esPCTAlaplace(p, a=0.5, theta=0)
dPCTAlaplace(x, a=0.5, theta=0, log=FALSE) pPCTAlaplace(x, a=0.5, theta=0, log.p=FALSE, lower.tail=TRUE) varPCTAlaplace(p, a=0.5, theta=0, log.p=FALSE, lower.tail=TRUE) esPCTAlaplace(p, a=0.5, theta=0)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the location parameter, can take any real value, the default is zero |
a |
the value of the scale parameter, must be in the unit interval, the default is 0.5 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dPCTAlaplace(x) pPCTAlaplace(x) varPCTAlaplace(x) esPCTAlaplace(x)
x=runif(10,min=0,max=1) dPCTAlaplace(x) pPCTAlaplace(x) varPCTAlaplace(x) esPCTAlaplace(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Perks distribution due to Perks (1932) given by
for ,
,
, the first scale parameter and
, the second scale parameter.
dperks(x, a=1, b=1, log=FALSE) pperks(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varperks(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esperks(p, a=1, b=1)
dperks(x, a=1, b=1, log=FALSE) pperks(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE) varperks(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE) esperks(p, a=1, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
b |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dperks(x) pperks(x) varperks(x) esperks(x)
x=runif(10,min=0,max=1) dperks(x) pperks(x) varperks(x) esperks(x)
Computes the pdf, cdf, value at risk and expected shortfall for the power function I distribution given by
for ,
, and
, the shape parameter.
dpower1(x, a=1, log=FALSE) ppower1(x, a=1, log.p=FALSE, lower.tail=TRUE) varpower1(p, a=1, log.p=FALSE, lower.tail=TRUE) espower1(p, a=1)
dpower1(x, a=1, log=FALSE) ppower1(x, a=1, log.p=FALSE, lower.tail=TRUE) varpower1(p, a=1, log.p=FALSE, lower.tail=TRUE) espower1(p, a=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dpower1(x) ppower1(x) varpower1(x) espower1(x)
x=runif(10,min=0,max=1) dpower1(x) ppower1(x) varpower1(x) espower1(x)
Computes the pdf, cdf, value at risk and expected shortfall for the power function II distribution given by
for ,
, and
, the shape parameter.
dpower2(x, b=1, log=FALSE) ppower2(x, b=1, log.p=FALSE, lower.tail=TRUE) varpower2(p, b=1, log.p=FALSE, lower.tail=TRUE) espower2(p, b=1)
dpower2(x, b=1, log=FALSE) ppower2(x, b=1, log.p=FALSE, lower.tail=TRUE) varpower2(p, b=1, log.p=FALSE, lower.tail=TRUE) espower2(p, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dpower2(x) ppower2(x) varpower2(x) espower2(x)
x=runif(10,min=0,max=1) dpower2(x) ppower2(x) varpower2(x) espower2(x)
Computes the pdf, cdf, value at risk and expected shortfall for the quadratic distribution given by
for ,
,
, the first location parameter, and
, the second location parameter, where
and
.
dquad(x, a=0, b=1, log=FALSE) pquad(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE) varquad(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE) esquad(p, a=0, b=1)
dquad(x, a=0, b=1, log=FALSE) pquad(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE) varquad(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE) esquad(p, a=0, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first location parameter, can take any real value, the default is zero |
b |
the value of the second location parameter, can take any real value but must be greater than a, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dquad(x) pquad(x) varquad(x) esquad(x)
x=runif(10,min=0,max=1) dquad(x) pquad(x) varquad(x) esquad(x)
Computes the pdf, cdf, value at risk and expected shortfall for the reflected gamma distribution due to Borgi (1965) given by
for ,
,
, the location parameter,
, the scale parameter, and
, the shape parameter.
drgamma(x, a=1, theta=0, phi=1, log=FALSE) prgamma(x, a=1, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) varrgamma(p, a=1, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) esrgamma(p, a=1, theta=0, phi=1)
drgamma(x, a=1, theta=0, phi=1, log=FALSE) prgamma(x, a=1, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) varrgamma(p, a=1, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE) esrgamma(p, a=1, theta=0, phi=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the location parameter, can take any real value, the default is zero |
phi |
the value of the scale parameter, must be positive, the default is 1 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) drgamma(x) prgamma(x) varrgamma(x) esrgamma(x)
x=runif(10,min=0,max=1) drgamma(x) prgamma(x) varrgamma(x) esrgamma(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Ramber-Schmeiser distribution due to Ramberg and Schmeiser (1974) given by
for ,
, the first shape parameter,
, the second shape parameter, and
, the scale parameter.
varRS(p, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esRS(p, b=1, c=1, d=1)
varRS(p, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esRS(p, b=1, c=1, d=1)
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
d |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) varRS(x) esRS(x)
x=runif(10,min=0,max=1) varRS(x) esRS(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Schabe distribution due to Schabe (1994) given by
for ,
,
, the first scale parameter, and
, the second scale parameter.
dschabe(x, gamma=0.5, theta=1, log=FALSE) pschabe(x, gamma=0.5, theta=1, log.p=FALSE, lower.tail=TRUE) varschabe(p, gamma=0.5, theta=1, log.p=FALSE, lower.tail=TRUE) esschabe(p, gamma=0.5, theta=1)
dschabe(x, gamma=0.5, theta=1, log=FALSE) pschabe(x, gamma=0.5, theta=1, log.p=FALSE, lower.tail=TRUE) varschabe(p, gamma=0.5, theta=1, log.p=FALSE, lower.tail=TRUE) esschabe(p, gamma=0.5, theta=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
gamma |
the value of the first scale parameter, must be in the unit interval, the default is 0.5 |
theta |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dschabe(x) pschabe(x) varschabe(x) esschabe(x)
x=runif(10,min=0,max=1) dschabe(x) pschabe(x) varschabe(x) esschabe(x)
Computes the pdf, cdf, value at risk and expected shortfall for the hyperbolic secant distribution given by
for , and
.
dsecant(x, log=FALSE) psecant(x, log.p=FALSE, lower.tail=TRUE) varsecant(p, log.p=FALSE, lower.tail=TRUE) essecant(p)
dsecant(x, log=FALSE) psecant(x, log.p=FALSE, lower.tail=TRUE) varsecant(p, log.p=FALSE, lower.tail=TRUE) essecant(p)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dsecant(x) psecant(x) varsecant(x) essecant(x)
x=runif(10,min=0,max=1) dsecant(x) psecant(x) varsecant(x) essecant(x)
Computes the pdf, cdf, value at risk and expected shortfall for Stacy distribution due to Stacy (1962) given by
for ,
,
, the scale parameter,
, the first shape parameter, and
, the second shape parameter.
dstacygamma(x, gamma=1, c=1, theta=1, log=FALSE) pstacygamma(x, gamma=1, c=1, theta=1, log.p=FALSE, lower.tail=TRUE) varstacygamma(p, gamma=1, c=1, theta=1, log.p=FALSE, lower.tail=TRUE) esstacygamma(p, gamma=1, c=1, theta=1)
dstacygamma(x, gamma=1, c=1, theta=1, log=FALSE) pstacygamma(x, gamma=1, c=1, theta=1, log.p=FALSE, lower.tail=TRUE) varstacygamma(p, gamma=1, c=1, theta=1, log.p=FALSE, lower.tail=TRUE) esstacygamma(p, gamma=1, c=1, theta=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the scale parameter, must be positive, the default is 1 |
c |
the value of the first scale parameter, must be positive, the default is 1 |
gamma |
the value of the second scale parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dstacygamma(x) pstacygamma(x) varstacygamma(x) esstacygamma(x)
x=runif(10,min=0,max=1) dstacygamma(x) pstacygamma(x) varstacygamma(x) esstacygamma(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Student's distribution due to Gosset (1908) given by
for ,
, and
, the degree of freedom parameter.
dT(x, n=1, log=FALSE) pT(x, n=1, log.p=FALSE, lower.tail=TRUE) varT(p, n=1, log.p=FALSE, lower.tail=TRUE) esT(p, n=1)
dT(x, n=1, log=FALSE) pT(x, n=1, log.p=FALSE, lower.tail=TRUE) varT(p, n=1, log.p=FALSE, lower.tail=TRUE) esT(p, n=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
n |
the value of the degree of freedom parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dT(x) pT(x) varT(x) esT(x)
x=runif(10,min=0,max=1) dT(x) pT(x) varT(x) esT(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Tukey-Lambda distribution due to Tukey (1962) given by
for , and
, the shape parameter.
varTL(p, lambda=1, log.p=FALSE, lower.tail=TRUE) esTL(p, lambda=1)
varTL(p, lambda=1, log.p=FALSE, lower.tail=TRUE) esTL(p, lambda=1)
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
lambda |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) varTL(x) esTL(x)
x=runif(10,min=0,max=1) varTL(x) esTL(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Topp-Leone distribution due to Topp and Leone (1955) given by
for ,
, and
, the shape parameter.
dTL2(x, b=1, log=FALSE) pTL2(x, b=1, log.p=FALSE, lower.tail=TRUE) varTL2(p, b=1, log.p=FALSE, lower.tail=TRUE) esTL2(p, b=1)
dTL2(x, b=1, log=FALSE) pTL2(x, b=1, log.p=FALSE, lower.tail=TRUE) varTL2(p, b=1, log.p=FALSE, lower.tail=TRUE) esTL2(p, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dTL2(x) pTL2(x) varTL2(x) esTL2(x)
x=runif(10,min=0,max=1) dTL2(x) pTL2(x) varTL2(x) esTL2(x)
Computes the pdf, cdf, value at risk and expected shortfall for the triangular distribution given by
for ,
,
, the first location parameter,
, the second location parameter, and
, the third location parameter.
dtriangular(x, a=0, b=2, c=1, log=FALSE) ptriangular(x, a=0, b=2, c=1, log.p=FALSE, lower.tail=TRUE) vartriangular(p, a=0, b=2, c=1, log.p=FALSE, lower.tail=TRUE) estriangular(p, a=0, b=2, c=1)
dtriangular(x, a=0, b=2, c=1, log=FALSE) ptriangular(x, a=0, b=2, c=1, log.p=FALSE, lower.tail=TRUE) vartriangular(p, a=0, b=2, c=1, log.p=FALSE, lower.tail=TRUE) estriangular(p, a=0, b=2, c=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first location parameter, can take any real value, the default is zero |
c |
the value of the second location parameter, can take any real value but must be greater than a, the default is 1 |
b |
the value of the third location parameter, can take any real value but must be greater than c, the default is 2 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dtriangular(x) ptriangular(x) vartriangular(x) estriangular(x)
x=runif(10,min=0,max=1) dtriangular(x) ptriangular(x) vartriangular(x) estriangular(x)
Computes the pdf, cdf, value at risk and expected shortfall for the two sided power distribution due to van Dorp and Kotz (2002) given by
for ,
,
, the shape parameter, and
, the location parameter.
dtsp(x, a=1, theta=0.5, log=FALSE) ptsp(x, a=1, theta=0.5, log.p=FALSE, lower.tail=TRUE) vartsp(p, a=1, theta=0.5, log.p=FALSE, lower.tail=TRUE) estsp(p, a=1, theta=0.5)
dtsp(x, a=1, theta=0.5, log=FALSE) ptsp(x, a=1, theta=0.5, log.p=FALSE, lower.tail=TRUE) vartsp(p, a=1, theta=0.5, log.p=FALSE, lower.tail=TRUE) estsp(p, a=1, theta=0.5)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
theta |
the value of the location parameter, must take a value in the unit interval, the default is 0.5 |
a |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dtsp(x) ptsp(x) vartsp(x) estsp(x)
x=runif(10,min=0,max=1) dtsp(x) ptsp(x) vartsp(x) estsp(x)
Computes the pdf, cdf, value at risk and expected shortfall for the uniform distribution given by
for ,
,
, the first location parameter, and
, the second location parameter.
duniform(x, a=0, b=1, log=FALSE) puniform(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE) varuniform(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE) esuniform(p, a=0, b=1)
duniform(x, a=0, b=1, log=FALSE) puniform(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE) varuniform(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE) esuniform(p, a=0, b=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first location parameter, can take any real value, the default is zero |
b |
the value of the second location parameter, can take any real value but must be greater than a, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) duniform(x) puniform(x) varuniform(x) esuniform(x)
x=runif(10,min=0,max=1) duniform(x) puniform(x) varuniform(x) esuniform(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Weibull distribution due to Weibull (1951) given by
for ,
,
, the shape parameter, and
, the scale parameter.
dWeibull(x, alpha=1, sigma=1, log=FALSE) pWeibull(x, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varWeibull(p, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esWeibull(p, alpha=1, sigma=1)
dWeibull(x, alpha=1, sigma=1, log=FALSE) pWeibull(x, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) varWeibull(p, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE) esWeibull(p, alpha=1, sigma=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
sigma |
the value of the scale parameter, must be positive, the default is 1 |
alpha |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dWeibull(x) pWeibull(x) varWeibull(x) esWeibull(x)
x=runif(10,min=0,max=1) dWeibull(x) pWeibull(x) varWeibull(x) esWeibull(x)
Computes the pdf, cdf, value at risk and expected shortfall for the Xie distribution due to Xie et al. (2002) given by
for ,
,
, the first scale parameter,
, the shape parameter,
and
, the second scale parameter.
dxie(x, a=1, b=1, lambda=1, log=FALSE) pxie(x, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varxie(p, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esxie(p, a=1, b=1, lambda=1)
dxie(x, a=1, b=1, lambda=1, log=FALSE) pxie(x, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) varxie(p, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE) esxie(p, a=1, b=1, lambda=1)
x |
scaler or vector of values at which the pdf or cdf needs to be computed |
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
a |
the value of the first scale parameter, must be positive, the default is 1 |
lambda |
the value of the second scale parameter, must be positive, the default is 1 |
b |
the value of the shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658
x=runif(10,min=0,max=1) dxie(x) pxie(x) varxie(x) esxie(x)
x=runif(10,min=0,max=1) dxie(x) pxie(x) varxie(x) esxie(x)