FellerPareto {actuar}R Documentation

The Feller Pareto Distribution

Description

Density function, distribution function, quantile function, random generation, raw moments and limited moments for the Feller Pareto distribution with parameters min, shape1, shape2, shape3 and scale.

Usage

dfpareto(x, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
        log = FALSE)
pfpareto(q, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
        lower.tail = TRUE, log.p = FALSE)
qfpareto(p, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
        lower.tail = TRUE, log.p = FALSE)
rfpareto(n, min, shape1, shape2, shape3, rate = 1, scale = 1/rate)
mfpareto(order, min, shape1, shape2, shape3, rate = 1, scale = 1/rate)
levfpareto(limit, min, shape1, shape2, shape3, rate = 1, scale = 1/rate,
          order = 1)

Arguments

x, q

vector of quantiles.

p

vector of probabilities.

n

number of observations. If length(n) > 1, the length is taken to be the number required.

min

lower bound of the support of the distribution.

shape1, shape2, shape3, scale

parameters. Must be strictly positive.

rate

an alternative way to specify the scale.

log, log.p

logical; if TRUE, probabilities/densities p are returned as log(p).

lower.tail

logical; if TRUE (default), probabilities are P[X <= x], otherwise, P[X > x].

order

order of the moment.

limit

limit of the loss variable.

Details

The Feller-Pareto distribution with parameters min = m, shape1 = a, shape2 = b, shape3 = c and scale = s, has density:

f(x) = Gamma(a + c)/(Gamma(a) * Gamma(c)) (b ((x - m)/s)^(bc - 1))/ (s [1 + ((x - m)/s)^b]^(a + c))

for x > m, -Inf < m < Inf, a > 0, b > 0, c > 0 and s > 0. (Here Gamma(a) is the function implemented by R's gamma() and defined in its help.)

The Feller-Pareto is the distribution of the random variable

m + s ((1 - X)/X)^(1/b),

where X has a beta distribution with parameters a and c.

The Feller-Pareto defines a large family of distributions encompassing the transformed beta family and many variants of the Pareto distribution. Setting min = 0 yields the transformed beta distribution.

The Feller-Pareto distribution also has the following direct special cases:

The kth raw moment of the random variable X is E[X^k] for nonnegative integer values of k < shape1 * shape2.

The kth limited moment at some limit d is E[min(X, d)^k] for nonnegative integer values of k and shape1 - j/shape2, j = 1, …, k not a negative integer.

Note that the range of admissible values for k in raw and limited moments is larger when min == 0.

Value

dfpareto gives the density, pfpareto gives the distribution function, qfpareto gives the quantile function, rfpareto generates random deviates, mfpareto gives the kth raw moment, and levfpareto gives the kth moment of the limited loss variable.

Invalid arguments will result in return value NaN, with a warning.

Note

levfpareto computes the limited expected value using betaint.

For the Feller-Pareto and other Pareto distributions, we use the classification of Arnold (2015) with the parametrization of Klugman et al. (2012).

The "distributions" package vignette provides the interrelations between the continuous size distributions in actuar and the complete formulas underlying the above functions.

Author(s)

Vincent Goulet vincent.goulet@act.ulaval.ca and Nicholas Langevin

References

Arnold, B.C. (2015), Pareto Distributions, Second Edition, CRC Press.

Kleiber, C. and Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial Sciences, Wiley.

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions, Fourth Edition, Wiley.

Abramowitz, M. and Stegun, I. A. (1972), Handbook of Mathematical Functions, Dover.

See Also

dtrbeta for the transformed beta distribution.

Examples

exp(dfpareto(2, 1, 2, 3, 4, 5, log = TRUE))
p <- (1:10)/10
pfpareto(qfpareto(p, 1, 2, 3, 4, 5), 1, 2, 3, 4, 5)

## variance
mfpareto(2, 1, 2, 3, 4, 5) - mfpareto(1, 1, 2, 3, 4, 5)^2

## case with shape1 - order/shape2 > 0
levfpareto(10, 1, 2, 3, 4, scale = 1, order = 2)

## case with shape1 - order/shape2 < 0
levfpareto(20, 10, 0.1, 14, 2, scale = 1.5, order = 2)

[Package actuar version 3.1-4 Index]