Description Usage Arguments Details Value Author(s) References Examples
Computes pdf of the composite model.
1 | dcomposite(x, spec1, arg1, spec2, arg2, initial = 1, log = FALSE)
|
x |
scalar or vector of values to compute the pdf. |
spec1 |
a character string specifying the head parent distribution (for example, "lnorm" if the parent distribution corresponds to the lognormal). |
arg1 |
list of arguments/parameters of the head parent distribution. |
spec2 |
a character string specifying the tail parent distribution (for example, "exp" if the parent distribution corresponds to the exponential). |
arg2 |
list of arguments/parameters of the tail parent distribution. |
initial |
initial values of the threshold, θ. |
log |
logical; if |
The pdf of composite model has a general form of:
f(x) = \frac{1}{1+φ} f_{1}^{*}(x), \mbox{ if} \quad x ≤q θ,
= \frac{φ}{1+φ} f_{2}^{*}(x), \mbox{ if} \quad x > θ,
whereby φ is the weight component, θ is the threshold and f_{i}^{*}(x) for i=1,2 are the truncated pdfs correspond to head and tail parent distributions defined by
f_{1}^{*}(x) = \frac{f_{1}(x)}{F_{1}(θ)}
and
f_{2}^{*}(x) = \frac{f_{2}(x)}{1-F_{2}(θ)}
respectively.
An object of the same length as x
, giving the pdf values computed at x
.
Shaiful Anuar Abu Bakar
Abu Bakar, S. A., Nadarajah, S., Adzhar, Z. A. A. K., & Mohamed, I. (2016). gendist: An R package for generated probability distribution models. PloS one, 11(6).
Cooray, K., & Ananda, M. M. (2005). Modeling actuarial data with a composite lognormal-Pareto model. Scandinavian Actuarial Journal, 2005(5), 321-334.
Scollnik, D. P. (2007). On composite lognormal-Pareto models. Scandinavian Actuarial Journal, 2007(1), 20-33.
Nadarajah, S., & Bakar, S. A. A. (2014). New composite models for the Danish fire insurance data. Scandinavian Actuarial Journal, 2014(2), 180-187.
Bakar, S. A., Hamzah, N. A., Maghsoudi, M., & Nadarajah, S. (2015). Modeling loss data using composite models. Insurance: Mathematics and Economics, 61, 146-154.
1 2 3 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.