VaRES (version 1.0.2)

betagompertz: Beta Gompertz distribution

Description

Computes the pdf, cdf, value at risk and expected shortfall for the beta Gompertz distribution due to Cordeiro et al. (2012b) given by $$\begin{array}{ll} &\displaystyle f(x) = \frac {b \eta \exp (bx)}{B (c, d)} \exp \left( d \eta \right) \exp \left[ -d \eta \exp (bx) \right] \left\{ 1 - \exp \left[ \eta - \eta \exp (bx) \right] \right\}^{c - 1}, \\ &\displaystyle F(x) = I_{1 - \exp \left[ \eta - \eta \exp (bx) \right]} (c, d), \\ &\displaystyle {\rm VaR}_p (X) = \frac {1}{b} \log \left\{ 1 - \frac {1}{\eta} \log \left[ 1 - I_p^{-1} (c, d) \right] \right\}, \\ &\displaystyle {\rm ES}_p (X) = \frac {1}{p b} \int_0^p \log \left\{ 1 - \frac {1}{\eta} \log \left[ 1 - I_v^{-1} (c, d) \right] \right\} dv \end{array}$$ for \(x > 0\), \(0 < p < 1\), \(b > 0\), the first scale parameter, \(\eta > 0\), the second scale parameter, \(c > 0\), the first shape parameter, and \(d > 0\), the second shape parameter.

Usage

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)

Value

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.

Arguments

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

Author

Saralees Nadarajah

References

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, tools:::Rd_expr_doi("10.1080/03610918.2014.944658")

Examples

x=runif(10,min=0,max=1)
dbetagompertz(x)
pbetagompertz(x)
varbetagompertz(x)
esbetagompertz(x)