GeneralizedBeta | R Documentation |
Density function, distribution function, quantile function, random generation,
raw moments and limited moments for the Generalized Beta distribution
with parameters shape1
, shape2
, shape3
and
scale
.
dgenbeta(x, shape1, shape2, shape3, rate = 1, scale = 1/rate,
log = FALSE)
pgenbeta(q, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
qgenbeta(p, shape1, shape2, shape3, rate = 1, scale = 1/rate,
lower.tail = TRUE, log.p = FALSE)
rgenbeta(n, shape1, shape2, shape3, rate = 1, scale = 1/rate)
mgenbeta(order, shape1, shape2, shape3, rate = 1, scale = 1/rate)
levgenbeta(limit, shape1, shape2, shape3, rate = 1, scale = 1/rate,
order = 1)
x, q |
vector of quantiles. |
p |
vector of probabilities. |
n |
number of observations. If |
shape1, shape2, shape3, scale |
parameters. Must be strictly positive. |
rate |
an alternative way to specify the scale. |
log, log.p |
logical; if |
lower.tail |
logical; if |
order |
order of the moment. |
limit |
limit of the loss variable. |
The generalized beta distribution with parameters shape1
=
\alpha
, shape2
= \beta
, shape3
= \tau
and scale
= \theta
, has
density:
f(x) = \frac{\Gamma(\alpha + \beta)}{\Gamma(\alpha)\Gamma(\beta)}
(x/\theta)^{\alpha \tau} (1 - (x/\theta)^\tau)^{\beta - 1}
\frac{\tau}{x}
for 0 < x < \theta
, \alpha > 0
,
\beta > 0
, \tau > 0
and \theta > 0
. (Here \Gamma(\alpha)
is the function implemented
by R's gamma()
and defined in its help.)
The generalized beta is the distribution of the random variable
\theta X^{1/\tau},
where X
has a beta distribution with parameters \alpha
and \beta
.
The k
th raw moment of the random variable X
is
E[X^k]
and the k
th limited moment at some limit
d
is E[\min(X, d)]
, k > -\alpha\tau
.
dgenbeta
gives the density,
pgenbeta
gives the distribution function,
qgenbeta
gives the quantile function,
rgenbeta
generates random deviates,
mgenbeta
gives the k
th raw moment, and
levgenbeta
gives the k
th moment of the limited loss
variable.
Invalid arguments will result in return value NaN
, with a warning.
This is not the generalized three-parameter beta distribution defined on page 251 of Johnson et al, 1995.
The "distributions"
package vignette provides the
interrelations between the continuous size distributions in
actuar and the complete formulas underlying the above functions.
Vincent Goulet vincent.goulet@act.ulaval.ca
Johnson, N. L., Kotz, S. and Balakrishnan, N. (1995) Continuous Univariate Distributions, Volume 2, Wiley.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions, Fourth Edition, Wiley.
exp(dgenbeta(2, 2, 3, 4, 0.2, log = TRUE))
p <- (1:10)/10
pgenbeta(qgenbeta(p, 2, 3, 4, 0.2), 2, 3, 4, 0.2)
mgenbeta(2, 1, 2, 3, 0.25) - mgenbeta(1, 1, 2, 3, 0.25) ^ 2
levgenbeta(10, 1, 2, 3, 0.25, order = 2)
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