Mixture of hybrid Paretos

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Description

Density and distribution function for a mixture of hybrid Paretos with m components.

Usage

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dhparetomixt(params, x, log = FALSE, trunc = TRUE)
phparetomixt(params, x, trunc = TRUE)

Arguments

params

matrix of mixture parameters of dimension 4 x m, where m is the number of components, so that each column contains the mixture parameters (pi, xi, mu, sigma) related to one component

x

vector of sample data

log

logical, if TRUE, probabilities p are given as log(p).

trunc

logical, if TRUE (default), the hybrid Pareto density is truncated below zero.

Value

dhparetomixt gives the density and phparetomixt gives the distribution function

Author(s)

Julie Carreau

References

Carreau, J. and Bengio, Y. (2009), A Hybrid Pareto Model for Asymmetric Fat-tailed Data: the Univariate Case, 12, Extremes

See Also

hparetomixt.init

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