dist-distCheck: Distribution Check In fBasics: Rmetrics - Markets and Basic Statistics

Description

Tests properties of an R implementation of a distribution, i.e. of all four of its “dpqr” functions.

Usage

 `1` ```distCheck(fun = "norm", n = 1000, robust = TRUE, subdivisions = 100, ...) ```

Arguments

 `fun` a character string denoting the name of the distribution. `n` an integer specifying the number of random variates to be generated. `robust` logical flag, should robust estimates be used? By default `TRUE`. `subdivisions` integer specifying the numbers of subdivisions in integration. `...` the distributional parameters.

Examples

 ```1 2 3 4 5``` ```distCheck("norm", mean = 1, sd = 1) distCheck("lnorm", meanlog = 0.5, sdlog = 2, robust=FALSE) ## here, true E(X) = exp(mu + 1/2 sigma^2) = exp(.5 + 2) = exp(2.5) = 12.182 ## and Var(X) = exp(2*mu + sigma^2)*(exp(sigma^2) - 1) = 7954.67 ```

Example output

```Loading required package: timeDate

Distribution Check for: norm
Call: distCheck(fun = "norm", mean = 1, sd = 1)

1. Normalization Check:
NORM 1 with absolute error < 1.6e-05

2. [p-pfun(qfun(p))]^2 Check:
[,1] [,2] [,3] [,4] [,5] [,6]  [,7]
p 0.001 0.01  0.1  0.5  0.9 0.99 0.999
P 0.001 0.01  0.1  0.5  0.9 0.99 0.999
RMSE
2.205081e-17

3. r(1000) Check:
MEAN   VAR
SAMPLE 1.01 0.841
X   1 with absolute error < 4.4e-07
X^2 2 with absolute error < 7.9e-07
MEAN VAR
EXACT     1   1

normCheck    rmseCheck meanvarCheck
TRUE         TRUE        FALSE

Distribution Check for: lnorm
Call: distCheck(fun = "lnorm", robust = FALSE, meanlog = 0.5, sdlog = 2)

1. Normalization Check:
NORM 0.9999976 with absolute error < 7.6e-05

2. [p-pfun(qfun(p))]^2 Check:
[,1] [,2] [,3] [,4] [,5] [,6]  [,7]
p 0.001 0.01  0.1  0.5  0.9 0.99 0.999
P 0.001 0.01  0.1  0.5  0.9 0.99 0.999
RMSE
2.205081e-17

3. r(1000) Check:
MEAN  VAR
SAMPLE 15.6 9290
X   12.18247 with absolute error < 0.0012
X^2 8103.065 with absolute error < 0.64
MEAN  VAR
EXACT  12.2 7950

normCheck    rmseCheck meanvarCheck
TRUE         TRUE        FALSE
```

fBasics documentation built on March 13, 2020, 9:09 a.m.