moment: compute moments of loss distributions

In HyRiM: Multicriteria Risk Management using Zero-Sum Games with Vector-Valued Payoffs that are Probability Distributions

compute moments of loss distributions

Description

the moment of given order k is computed by numeric integration or summation (in case of discrete distributions)

Usage

moment(ld, k)

Arguments

ld	the loss distribution as obtained from lossDistribution or mgss.
k	the order of the moment (must be an integer ≥q 1)

Value

the k-th order moment of the given loss distribution

Note

In case of continuous distributions, the value returned is an approximation and based on the internal kernel density approximation.

For categorical distributions, the function works on the internal probability mass function (which may be different from the empirical distribution in case that the loss distribution has been smoothed during its construction; see lossDistribution).

In its current version, cdf does not vectorize, i.e., cannot be applied to vector arguments x.

Author(s)

Stefan Rass

See Also

the methods mean and variance are based on this function.

Examples

cvss1base <- c(10,6.4,9,7.9,7.1,9)
ld <- lossDistribution(cvss1base)
cdf(ld, 4)

HyRiM documentation built on Dec. 9, 2022, 1:08 a.m.