Description Details Value Distribution support Default Parameterisation Omitted Methods Also known as Super classes Public fields Methods References See Also

Mathematical and statistical functions for the Wald distribution, which is commonly used for modelling the first passage time for Brownian motion.

The Wald distribution parameterised with mean, *μ*, and shape, *λ*, is defined by the pdf,

*f(x) = (λ/(2x^3π))^{1/2} exp((-λ(x-μ)^2)/(2μ^2x))*

for *λ > 0* and *μ > 0*.

Sampling is performed as per Michael, Schucany, Haas (1976).

Returns an R6 object inheriting from class SDistribution.

The distribution is supported on the Positive Reals.

Wald(mean = 1, shape = 1)

`quantile`

is
omitted as no closed form analytic expression could be found, decorate with `FunctionImputation`

for a numerical imputation.

Also known as the Inverse Normal distribution.

`distr6::Distribution`

-> `distr6::SDistribution`

-> `Wald`

`name`

Full name of distribution.

`short_name`

Short name of distribution for printing.

`description`

Brief description of the distribution.

`packages`

Packages required to be installed in order to construct the distribution.

`new()`

Creates a new instance of this R6 class.

Wald$new(mean = NULL, shape = NULL, decorators = NULL)

`mean`

`(numeric(1))`

Mean of the distribution, location parameter, defined on the positive Reals.`shape`

`(numeric(1))`

Shape parameter, defined on the positive Reals.`decorators`

`(character())`

Decorators to add to the distribution during construction.

`mean()`

The arithmetic mean of a (discrete) probability distribution X is the expectation

*E_X(X) = ∑ p_X(x)*x*

with an integration analogue for continuous distributions.

Wald$mean(...)

`...`

Unused.

`mode()`

The mode of a probability distribution is the point at which the pdf is a local maximum, a distribution can be unimodal (one maximum) or multimodal (several maxima).

Wald$mode(which = "all")

`which`

`(character(1) | numeric(1)`

Ignored if distribution is unimodal. Otherwise`"all"`

returns all modes, otherwise specifies which mode to return.

`variance()`

The variance of a distribution is defined by the formula

*var_X = E[X^2] - E[X]^2*

where *E_X* is the expectation of distribution X. If the distribution is multivariate the
covariance matrix is returned.

Wald$variance(...)

`...`

Unused.

`skewness()`

The skewness of a distribution is defined by the third standardised moment,

*sk_X = E_X[((x - μ)/σ)^3]*

where *E_X* is the expectation of distribution X, *μ* is the mean of the
distribution and *σ* is the standard deviation of the distribution.

Wald$skewness(...)

`...`

Unused.

`kurtosis()`

The kurtosis of a distribution is defined by the fourth standardised moment,

*k_X = E_X[((x - μ)/σ)^4]*

where *E_X* is the expectation of distribution X, *μ* is the mean of the
distribution and *σ* is the standard deviation of the distribution.
Excess Kurtosis is Kurtosis - 3.

Wald$kurtosis(excess = TRUE, ...)

`excess`

`(logical(1))`

If`TRUE`

(default) excess kurtosis returned.`...`

Unused.

`mgf()`

The moment generating function is defined by

*mgf_X(t) = E_X[exp(xt)]*

where X is the distribution and *E_X* is the expectation of the distribution X.

Wald$mgf(t, ...)

`t`

`(integer(1))`

t integer to evaluate function at.`...`

Unused.

`cf()`

The characteristic function is defined by

*cf_X(t) = E_X[exp(xti)]*

where X is the distribution and *E_X* is the expectation of the distribution X.

Wald$cf(t, ...)

`t`

`(integer(1))`

t integer to evaluate function at.`...`

Unused.

`pgf()`

The probability generating function is defined by

*pgf_X(z) = E_X[exp(z^x)]*

where X is the distribution and *E_X* is the expectation of the distribution X.

Wald$pgf(z, ...)

`z`

`(integer(1))`

z integer to evaluate probability generating function at.`...`

Unused.

`clone()`

The objects of this class are cloneable with this method.

Wald$clone(deep = FALSE)

`deep`

Whether to make a deep clone.

McLaughlin, M. P. (2001). A compendium of common probability distributions (pp. 2014-01). Michael P. McLaughlin.

Michael, J. R., Schucany, W. R., & Haas, R. W. (1976). Generating random variates using transformations with multiple roots. The American Statistician, 30(2), 88-90.

Other continuous distributions:
`Arcsine`

,
`BetaNoncentral`

,
`Beta`

,
`Cauchy`

,
`ChiSquaredNoncentral`

,
`ChiSquared`

,
`Dirichlet`

,
`Erlang`

,
`Exponential`

,
`FDistributionNoncentral`

,
`FDistribution`

,
`Frechet`

,
`Gamma`

,
`Gompertz`

,
`Gumbel`

,
`InverseGamma`

,
`Laplace`

,
`Logistic`

,
`Loglogistic`

,
`Lognormal`

,
`MultivariateNormal`

,
`Normal`

,
`Pareto`

,
`Poisson`

,
`Rayleigh`

,
`ShiftedLoglogistic`

,
`StudentTNoncentral`

,
`StudentT`

,
`Triangular`

,
`Uniform`

,
`Weibull`

Other univariate distributions:
`Arcsine`

,
`Bernoulli`

,
`BetaNoncentral`

,
`Beta`

,
`Binomial`

,
`Categorical`

,
`Cauchy`

,
`ChiSquaredNoncentral`

,
`ChiSquared`

,
`Degenerate`

,
`DiscreteUniform`

,
`Empirical`

,
`Erlang`

,
`Exponential`

,
`FDistributionNoncentral`

,
`FDistribution`

,
`Frechet`

,
`Gamma`

,
`Geometric`

,
`Gompertz`

,
`Gumbel`

,
`Hypergeometric`

,
`InverseGamma`

,
`Laplace`

,
`Logarithmic`

,
`Logistic`

,
`Loglogistic`

,
`Lognormal`

,
`NegativeBinomial`

,
`Normal`

,
`Pareto`

,
`Poisson`

,
`Rayleigh`

,
`ShiftedLoglogistic`

,
`StudentTNoncentral`

,
`StudentT`

,
`Triangular`

,
`Uniform`

,
`Weibull`

,
`WeightedDiscrete`

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