Density function, distribution function, quantile function, random generation,
raw moments and limited moments for the Generalized Beta distribution
with parameters shape1
, shape2
, shape3
and
scale
.
dgenbeta(x, shape1, shape2, shape3, rate = 1, scale = 1/rate,
log = FALSE)
pgenbeta(q, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qgenbeta(p, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rgenbeta(n, shape1, shape2, shape3, rate = 1, scale = 1/rate)
mgenbeta(order, shape1, shape2, shape3, rate = 1, scale = 1/rate)
levgenbeta(limit, shape1, shape2, shape3, rate = 1, scale = 1/rate,
order = 1)
dgenbeta
gives the density,
pgenbeta
gives the distribution function,
qgenbeta
gives the quantile function,
rgenbeta
generates random deviates,
mgenbeta
gives the \(k\)th raw moment, and
levgenbeta
gives the \(k\)th moment of the limited loss
variable.
Invalid arguments will result in return value NaN
, with a warning.
vector of quantiles.
vector of probabilities.
number of observations. If length(n) > 1
, the length is
taken to be the number required.
parameters. Must be strictly positive.
an alternative way to specify the scale.
logical; if TRUE
, probabilities/densities
\(p\) are returned as \(\log(p)\).
logical; if TRUE
(default), probabilities are
\(P[X \le x]\), otherwise, \(P[X > x]\).
order of the moment.
limit of the loss variable.
Vincent Goulet vincent.goulet@act.ulaval.ca
The generalized beta distribution with parameters shape1
\(=
\alpha\), shape2
\(= \beta\), shape3
\(= \tau\) and scale
\(= \theta\), has
density:
$$f(x) = \frac{\Gamma(\alpha + \beta)}{\Gamma(\alpha)\Gamma(\beta)}
(x/\theta)^{\alpha \tau} (1 - (x/\theta)^\tau)^{\beta - 1}
\frac{\tau}{x}$$
for \(0 < x < \theta\), \(\alpha > 0\),
\(\beta > 0\), \(\tau > 0\) and \(\theta > 0\). (Here \(\Gamma(\alpha)\) is the function implemented
by R's gamma()
and defined in its help.)
The generalized beta is the distribution of the random variable $$\theta X^{1/\tau},$$ where \(X\) has a beta distribution with parameters \(\alpha\) and \(\beta\).
The \(k\)th raw moment of the random variable \(X\) is \(E[X^k]\) and the \(k\)th limited moment at some limit \(d\) is \(E[\min(X, d)]\), \(k > -\alpha\tau\).
Johnson, N. L., Kotz, S. and Balakrishnan, N. (1995) Continuous Univariate Distributions, Volume 2, Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions, Fourth Edition, Wiley.
exp(dgenbeta(2, 2, 3, 4, 0.2, log = TRUE))
p <- (1:10)/10
pgenbeta(qgenbeta(p, 2, 3, 4, 0.2), 2, 3, 4, 0.2)
mgenbeta(2, 1, 2, 3, 0.25) - mgenbeta(1, 1, 2, 3, 0.25) ^ 2
levgenbeta(10, 1, 2, 3, 0.25, order = 2)
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