GSMDist: Utility Function
In GSM: Gamma Shape Mixture

Description Usage Arguments Details Value Author(s) References See Also

Function evaluations for a Gamma Shape Mixture Model.

   dgsm(x, weight, rateparam)
   pgsm(q, weight, rateparam, lower.t = TRUE)
   rgsm(n, weight, rateparam)
   qgsm(p, x = NULL, weight, rateparam, alpha = .05, br = c(0, 1000), lower.t = TRUE)

`x, q`	vector of quantiles.
`n`	number of observations.
`p`	vector of probabilities.
`weight`	vector of mixture weights.
`rateparam`	reciprocal of the shape parameter, as in `GammaDist`.
`alpha`	outside the interval (alpha, 1 - alpha) the quantiles are found by searching for the root of F(x) - p = 0.
`br`	a vector containing the end-points of the interval to be searched for the root.
`lower.t`	logical; if TRUE (default), probabilities are P[X <= x] otherwise, P[X > x].

The parametrisation implemented in this function is described in Venturini et al. (2008).

dgsm gives the density, pgsm gives the distribution function, qgsm gives the quantile function, and rgsm generates random deviates.

Sergio Venturini sergio.venturini@unibocconi.it

Venturini, S., Dominici, F. and Parmigiani, G. (2008), "Gamma shape mixtures for heavy-tailed distributions". Annals of Applied Statistics, Volume 2, Number 2, 756–776. http://projecteuclid.org/euclid.aoas/1215118537

dgamma, pgamma, rgamma, uniroot.

GSM documentation built on May 1, 2019, 8:02 p.m.