pcomposite: Cumulative distribution function of composite model.

In gendist: Generated Probability Distribution Models

Description

Computes cdf of the composite model.

Usage

pcomposite(q, spec1, arg1, spec2, arg2, initial = 1, lower.tail = TRUE, log.p = FALSE)

Arguments

q	scalar or vector of values to compute the cdf.
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.
lower.tail	logical; if TRUE, cdf are returned, otherwise 1-cdf.
log.p	logical; if TRUE, probabilities returned are given as log(cdf).

Details

The cdf of composite model has a general form of:

F(x) = \frac{1}{1+φ} \frac{F_{1}(x)}{F_{1}(θ)} \mbox{ if } \quad x ≤q θ,

= \frac{1}{1+φ} ≤ft( 1 + φ \frac{F_{2}(x)-F_{2}(θ)}{1-F_{2}(θ)} \right) \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 cdfs correspond to head and tail parent distributions, respectively.

Value

An object of the same length as q, giving the cdf values computed at q.

Author(s)

Shaiful Anuar Abu Bakar

References

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.

Examples

x=runif(10, min=0, max=1)
y=pcomposite(x, spec1="lnorm", arg1=list(meanlog=0.1,sdlog=0.2), spec2="exp", 
             arg2=list(rate=0.5) )

Example output

gendist documentation built on May 2, 2019, 3:34 p.m.