VaRES (version 1.0.2)

explogis: Exponentiated logistic distribution

Description

Computes the pdf, cdf, value at risk and expected shortfall for the exponentiated logistic distribution given by $$\begin{array}{ll} &\displaystyle f (x) = (a/b) \exp (-x/b) \left[ 1 + \exp (-x/b) \right]^{-a - 1}, \\ &\displaystyle F (x) = \left[ 1 + \exp (-x/b) \right]^{-a}, \\ &\displaystyle {\rm VaR}_p (X) = -b \log \left[ p^{-1 / a} - 1 \right], \\ &\displaystyle {\rm ES}_p (X) = -\frac {b}{p} \int_0^p \log \left[ v^{-1 / a} - 1 \right] dv \end{array}$$ for \(-\infty < x < \infty\), \(0 < p < 1\), \(a > 0\), the shape parameter, and \(b > 0\), the scale parameter.

Usage

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)

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 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

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)
dexplogis(x)
pexplogis(x)
varexplogis(x)
esexplogis(x)