gumbel {VaRES} | R Documentation |
Gumbel distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Gumbel distribution given by due to Gumbel (1954) given by
\begin{array}{ll}
&\displaystyle
f (x) = \frac {1}{\sigma} \exp \left( \frac {\mu - x}{\sigma} \right)
\exp \left[ -\exp \left( \frac {\mu - x}{\sigma} \right) \right],
\\
&\displaystyle
F (x) = \exp \left[ -\exp \left( \frac {\mu - x}{\sigma} \right) \right],
\\
&\displaystyle
{\rm VaR}_p (X) = \mu - \sigma \log (-\log p),
\\
&\displaystyle
{\rm ES}_p (X) = \mu - \frac {\sigma}{p} \int_0^p \log (-\log v) dv
\end{array}
for -\infty < x < \infty
, 0 < p < 1
, -\infty < \mu < \infty
, the location parameter, and \sigma > 0
, the scale parameter.
Usage
dgumbel(x, mu=0, sigma=1, log=FALSE)
pgumbel(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
vargumbel(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esgumbel(p, mu=0, sigma=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 |
mu |
the value of the location parameter, can take any real value, the default is zero |
sigma |
the value of the scale 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)
dgumbel(x)
pgumbel(x)
vargumbel(x)
esgumbel(x)