estimateDiffLognormal: Inference on the difference of two lognormals

In bgctw/lognorm: Functions for the Lognormal Distribution

Description

The distribution of y = a - b + s, where a and b are two lognormal random variables and s is a constant to be estimated, can be approximated by a lognormal distribution.

Usage

estimateDiffLognormal(mu_a, mu_b, sigma_a, sigma_b, corr = 0)

pDiffLognormalSample(
  mu_a,
  mu_b,
  sigma_a,
  sigma_b,
  corr = 0,
  q = 0,
  nSample = 1e+05
)

Arguments

mu_a	center parameter of the first term
mu_b	center parameter of the second term
sigma_a	scale parameter of the first term
sigma_b	scale parameter of the second term
corr	correlation between the two random variables
q	vector of quantiles
nSample	number of samples

Value

estimateDiffLognormal: numeric vector with components mu, sigma, and shift, the components of the shifted lognormal distribution.

pDiffLognormalSample: vector of probabilities

Functions

• estimateDiffLognormal: Estimate the shifted-lognormal approximation to difference of two lognormals

• pDiffLognormalSample: Distribution function for the difference of two lognormals based on sampling. Default provides the probability that the difference is significantly larger than zero.

bgctw/lognorm documentation built on March 17, 2021, 3:21 a.m.