GB2: The generalized Beta type 2 and generalized Pareto...

In gamlss.dist: Distributions for Generalized Additive Models for Location Scale and Shape

The generalized Beta type 2 and generalized Pareto distributions for fitting a GAMLSS

Description

This function defines the generalized beta type 2 distribution, a four parameter distribution. The function GB2 creates a gamlss.family object which can be used to fit the distribution using the function gamlss(). The response variable is in the range from zero to infinity. The functions dGB2, GB2, qGB2 and rGB2 define the density, distribution function, quantile function and random generation for the generalized beta type 2 distribution. The generalised Pareto GP distribution is defined by setting the parameters sigma and nu of the GB2 distribution to 1.

Usage

GB2(mu.link = "log", sigma.link = "log", nu.link = "log", 
     tau.link = "log")
dGB2(x, mu = 1, sigma = 1, nu = 1, tau = 0.5, log = FALSE)
pGB2(q, mu = 1, sigma = 1, nu = 1, tau = 0.5, lower.tail = TRUE, 
     log.p = FALSE)
qGB2(p, mu = 1, sigma = 1, nu = 1, tau = 0.5, lower.tail = TRUE, 
     log.p = FALSE)
rGB2(n, mu = 1, sigma = 1, nu = 1, tau = 0.5)

GP(mu.link = "log", sigma.link = "log")
dGP(x, mu = 1, sigma = 1, log = FALSE)
pGP(q, mu = 1, sigma = 1, lower.tail = TRUE, log.p = FALSE)
qGP(p, mu = 1, sigma = 1, lower.tail = TRUE, log.p = FALSE)
rGP(n, mu = 1, sigma = 1)

Arguments

mu.link	Defines the mu.link, with "identity" link as the default for the mu parameter.
sigma.link	Defines the sigma.link, with "log" link as the default for the sigma parameter.
nu.link	Defines the nu.link, with "log" link as the default for the nu parameter.
tau.link	Defines the tau.link, with "log" link as the default for the tau parameter.
x,q	vector of quantiles
mu	vector of location parameter values
sigma	vector of scale parameter values
nu	vector of skewness nu parameter values
tau	vector of kurtosis tau parameter values
log, log.p	logical; if TRUE, probabilities p are given as log(p).
lower.tail	logical; if TRUE (default), probabilities are P[X <= x], otherwise, P[X > x]
p	vector of probabilities.
n	number of observations. If length(n) > 1, the length is taken to be the number required

Details

The probability density function of the Generalized Beta type 2, (GB2), is defined as

f(y|\mu,\sigma,\nu,\tau)= |\sigma| y^{\hspace{0.01cm}\sigma v-1 } \{\mu^{\sigma \nu} \hspace{0.05cm}B(\nu,\tau) [1+(y/\mu)^\sigma]^{\nu+\tau}\}^{-1}

where y > 0, \mu>0, \sigma >0, \nu>0 and \tau>0 see pp. 452-453 of Rigby et al. (2019).

Note that by setting \sigma=1 we have the Pearson type VI, by setting \nu=1 we have the Burr type XII and by setting \tau=1 the Burr type III.

Value

GB2() returns a gamlss.family object which can be used to fit the GB2 distribution in the gamlss() function. dGB2() gives the density, pGB2() gives the distribution function, qGB2() gives the quantile function, and rGB2() generates random deviates.

Warning

The qSHASH and rSHASH are slow since they are relying on golden section for finding the quantiles

Author(s)

Bob Rigby and Mikis Stasinopoulos

References

Rigby, R. A. and Stasinopoulos D. M. (2005). Generalized additive models for location, scale and shape, (with discussion), Appl. Statist., 54, part 3, pp 507-554.

Rigby, R. A., Stasinopoulos, D. M., Heller, G. Z., and De Bastiani, F. (2019) Distributions for modeling location, scale, and shape: Using GAMLSS in R, Chapman and Hall/CRC, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1201/9780429298547")}. An older version can be found in https://www.gamlss.com/.

Stasinopoulos D. M. Rigby R.A. (2007) Generalized additive models for location scale and shape (GAMLSS) in R. Journal of Statistical Software, Vol. 23, Issue 7, Dec 2007, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v023.i07")}.

Stasinopoulos D. M., Rigby R.A., Heller G., Voudouris V., and De Bastiani F., (2017) Flexible Regression and Smoothing: Using GAMLSS in R, Chapman and Hall/CRC. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1201/b21973")}

(see also https://www.gamlss.com/).

See Also

gamlss.family, JSU, BCT

Examples

GB2()   # 
y<- rGB2(200, mu=5, sigma=2, nu=1, tau=1)
library(MASS)
truehist(y)
fx<-dGB2(seq(0.01, 20, length=200), mu=5 ,sigma=2, nu=1, tau=1)
lines(seq(0.01,20,length=200),fx)
integrate(function(x) x*dGB2(x=x, mu=5, sigma=2, nu=1, tau=1), 0, Inf)
mean(y)
curve(dGB2(x, mu=5 ,sigma=2, nu=1, tau=1), 0.01, 20, 
            main = "The GB2  density mu=5, sigma=2, nu=1, tau=4")

gamlss.dist documentation built on Aug. 24, 2023, 1:06 a.m.