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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# dgld Returns density for Generalized Lambda DF
# pgld Returns probability for Generalized Lambda DF
# qgld Returns quantiles for Generalized Lambda DF
# rgld Returns random variates for Generalized Lambda DF
################################################################################
dgld <-
function(x, lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8, log = FALSE)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns density for Generalized Lambda DF
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# Details:
# This a simple wrapper for the GLD using the RS parameterisation
# in Region 4. The parameter range is restricted to negative lambda3
# and lambda4 parameters
# Note:
# Uses gld functions from package gld
# Example:
# dgld( (-25:25)/10 )
# FUNCTION:
# Parameters:
if (length(lambda1) == 4) {
lambda4 = lambda1[4]
lambda3 = lambda1[3]
lambda2 = lambda1[2]
lambda1 = lambda1[1]
}
# Check Parameters:
stopifnot (lambda2 < 0)
stopifnot (lambda3 < 0)
stopifnot (lambda4 < 0)
# Density:
d = .dgld(x,
lambda1=lambda1, lambda2=lambda2, lambda3=lambda3, lambda4=lambda4,
param="rs")
# Log:
if(log) d = log(d)
# Return Value:
d
}
# ------------------------------------------------------------------------------
pgld <-
function(q, lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns probability for Generalized Lambda DF
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# Note:
# Uses gld functions from package gld
# Example:
# pgld( (-25:25)/10 )
# FUNCTION:
# Check Parameters:
stopifnot (lambda2 < 0)
stopifnot (lambda3 < 0)
stopifnot (lambda4 < 0)
# Probability:
p = .pgld(q,
lambda1=lambda1, lambda2=lambda2, lambda3=lambda3, lambda4=lambda4,
param="rs")
# Return Value:
p
}
# ------------------------------------------------------------------------------
qgld <-
function(p, lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns quantiles for Generalized Lambda DF
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# Note:
# Uses gld functions from package gld
# Example:
# qgld((1:99)/100)
# FUNCTION:
# Check Parameters:
stopifnot (lambda2 < 0)
stopifnot (lambda3 < 0)
stopifnot (lambda4 < 0)
# Quantiles:
q = .qgld(p,
lambda1=lambda1, lambda2=lambda2, lambda3=lambda3, lambda4=lambda4,
param="rs")
# Return Value:
q
}
# ------------------------------------------------------------------------------
rgld <-
function(n = 100, lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns random variates for Generalized Lambda DF
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# Note:
# Uses gld functions from package gld
# FUNCTION:
# Check Parameters:
stopifnot (lambda2 < 0)
stopifnot (lambda3 < 0)
stopifnot (lambda4 < 0)
# Random Variates:
r = .rgld(n,
lambda1=lambda1, lambda2=lambda2, lambda3=lambda3, lambda4=lambda4,
param="rs")
# Return Value:
r
}
################################################################################
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