Description Usage Arguments Value Author(s) References Examples

Computes the pdf, cdf, value at risk and expected shortfall for the beta distribution given by

*\begin{array}{ll}
&\displaystyle
f (x) = \frac {x^{a - 1} (1 - x)^{b - 1}}{B (a, b)},
\\
&\displaystyle
F (x) = I_x (a, b),
\\
&\displaystyle
{\rm VaR}_p (X) = I_p^{-1} (a, b),
\\
&\displaystyle
{\rm ES}_p (X) = \frac {1}{p} \int_0^p I_v^{-1} (a, b) dv
\end{array}*

for *0 < x < 1*, *0 < p < 1*, *a > 0*, the first parameter, and *b > 0*, the second shape parameter.

1 2 3 4 | ```
dbetadist(x, a=1, b=1, log=FALSE)
pbetadist(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varbetadist(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esbetadist(p, a=1, 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 |

`a` |
the value of the first scale parameter, must be positive, the default is 1 |

`b` |
the value of the second scale 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

S. Nadarajah, S. Chan and E. Afuecheta, An R Package for value at risk and expected shortfall, submitted

1 2 3 4 5 | ```
x=runif(10,min=0,max=1)
dbetadist(x)
pbetadist(x)
varbetadist(x)
esbetadist(x)
``` |

VaRES documentation built on May 29, 2017, 8:27 p.m.

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