TL2 | R Documentation |
Computes the pdf, cdf, value at risk and expected shortfall for the Topp-Leone distribution due to Topp and Leone (1955) given by
\begin{array}{ll}
&\displaystyle
f(x) = 2 b (x (2 - x))^{b - 1} (1 - x),
\\
&\displaystyle
F(x) = (x (2 - x))^b,
\\
&\displaystyle
{\rm VaR}_p (X) = 1 - \sqrt{1 - p^{1 / b}},
\\
&\displaystyle
{\rm ES}_p (X) = 1 - \frac {b}{p} B_{p^{1 / b}} \left( b, \frac {3}{2} \right)
\end{array}
for x > 0
, 0 < p < 1
, and b > 0
, the shape parameter.
dTL2(x, b=1, log=FALSE)
pTL2(x, b=1, log.p=FALSE, lower.tail=TRUE)
varTL2(p, b=1, log.p=FALSE, lower.tail=TRUE)
esTL2(p, b=1)
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 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 |
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
.
Saralees Nadarajah
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, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/03610918.2014.944658")}
x=runif(10,min=0,max=1)
dTL2(x)
pTL2(x)
varTL2(x)
esTL2(x)
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