burr7 {VaRES}

Burr XII distribution

Description

Computes the pdf, cdf, value at risk and expected shortfall for the Burr XII distribution due to Burr (1942) given by

\begin{array}{ll} &\displaystyle f (x) = \frac {k c x^{c - 1}}{\left( 1 + x^c \right)^{k + 1}}, \\ &\displaystyle F (x) = 1 - \left( 1 + x^c \right)^{-k}, \\ &\displaystyle {\rm VaR}_p (X) = \left[ (1 - p)^{-1 / k} - 1 \right]^{1/c}, \\ &\displaystyle {\rm ES}_p (X) = \frac {1}{p} \int_0^p \left[ (1 - v)^{-1 / k} - 1 \right]^{1/c} dv \end{array}

for x > 0, 0 < p < 1, c > 0, the first shape parameter, and k > 0, the second shape parameter.

Usage

dburr7(x, k=1, c=1, log=FALSE)
pburr7(x, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
varburr7(p, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
esburr7(p, k=1, c=1)

Arguments

x

scaler or vector of values at which the pdf or cdf needs to be computed

p

scaler or vector of values at which the value at risk or expected shortfall needs to be computed

k

the value of the first shape parameter, must be positive, the default is 1

c

the value of the second shape parameter, must be positive, the default is 1

log

if TRUE then log(pdf) are returned

log.p

if TRUE then log(cdf) are returned and quantiles are computed for exp(p)

lower.tail

if FALSE then 1-cdf are returned and quantiles are computed for 1-p

Value

An object of the same length as x, giving the pdf or cdf values computed at x or an object of the same length as p, giving the values at risk or expected shortfall computed at p.

Author(s)

Saralees Nadarajah

References

Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, doi:10.1080/03610918.2014.944658

Examples

x=runif(10,min=0,max=1)
dburr7(x)
pburr7(x)
varburr7(x)
esburr7(x)