Description Usage Arguments Value Author(s) References Examples

Computes the pdf, cdf, value at risk and expected shortfall for the inverse exponentiated exponential distribution due to Ghitany et al. (2013) given by

*\begin{array}{ll}
&\displaystyle
f (x) = a λ x^{-2} \exp ≤ft(-\frac {λ}{x} \right)
≤ft[ 1 - \exp ≤ft( -\frac {λ}{x} \right) \right]^{a - 1},
\\
&\displaystyle
F (x) = 1 - ≤ft[ 1 - \exp ≤ft( -\frac {λ}{x} \right) \right]^a,
\\
&\displaystyle
{\rm VaR}_p (X) = λ ≤ft\{ -\log ≤ft[ 1 - (1 - p)^{1 / a} \right] \right\}^{-1},
\\
&\displaystyle
{\rm ES}_p (X) = \frac {λ}{p} \int_0^p ≤ft\{ -\log ≤ft[ 1 - (1 - v)^{1 / a} \right] \right\}^{-1} dv
\end{array}*

for *x > 0*, *0 < p < 1*, *a > 0*, the shape parameter and *λ > 0*, the scale parameter.

1 2 3 4 | ```
dinvexpexp(x, lambda=1, a=1, log=FALSE)
pinvexpexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
varinvexpexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
esinvexpexp(p, lambda=1, a=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 |

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

`a` |
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

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)
dinvexpexp(x)
pinvexpexp(x)
varinvexpexp(x)
esinvexpexp(x)
``` |

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

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