IG {Distributacalcul} | R Documentation |
Inverse Gaussian Distribution
Description
Inverse Gaussian distribution with mean \mu
and shape parameter
\beta
.
Usage
expValIG(mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
varIG(mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
expValLimIG(d, mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
expValTruncIG(
d,
mean,
shape = dispersion * mean^2,
dispersion = shape/mean^2,
less.than.d = TRUE
)
stopLossIG(d, mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
meanExcessIG(d, mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
VatRIG(kap, mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
TVatRIG(kap, mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
mgfIG(t, mean, shape = dispersion * mean^2, dispersion = shape/mean^2)
Arguments
mean |
mean (location) parameter |
shape |
shape parameter |
dispersion |
alternative parameterization to the shape parameter, dispersion = 1 / rate. |
d |
cut-off value. |
less.than.d |
logical; if |
kap |
probability. |
t |
t. |
Details
The Inverse Gaussian distribution with
Value
Function :
-
expValIG
gives the expected value. -
varIG
gives the variance. -
expValLimIG
gives the limited mean. -
expValTruncIG
gives the truncated mean. -
stopLossIG
gives the stop-loss. -
meanExcessIG
gives the mean excess loss. -
VatRIG
gives the Value-at-Risk. -
TVatRIG
gives the Tail Value-at-Risk. -
mgfIG
gives the moment generating function (MGF).
Invalid parameter values will return an error detailing which parameter is problematic.
Note
Function VatRIG is a wrapper for the qinvgauss
function from the statmod package.
Examples
expValIG(mean = 2, shape = 5)
varIG(mean = 2, shape = 5)
expValLimIG(d = 2, mean = 2, shape = 5)
expValTruncIG(d = 2, mean = 2, shape = 5)
stopLossIG(d = 2, mean = 2, shape = 5)
meanExcessIG(d = 2, mean = 2, shape = 5)
VatRIG(kap = 0.99, mean = 2, shape = 5)
TVatRIG(kap = 0.99, mean = 2, shape = 5)
mgfIG(t = 1, mean = 2, shape = .5)