VaRES (version 1.0.1)

betadist: Beta distribution

Description

Computes the pdf, cdf, value at risk and expected shortfall for the beta distribution given by $$\begin{array}{ll} &\displaystyle f (x) = \frac {x^{a - 1} (1 - x)^{b - 1}}{B (a, b)}, \\ &\displaystyle F (x) = I_x (a, b), \\ &\displaystyle {\rm VaR}_p (X) = I_p^{-1} (a, b), \\ &\displaystyle {\rm ES}_p (X) = \frac {1}{p} \int_0^p I_v^{-1} (a, b) dv \end{array}$$ for \(0 < x < 1\), \(0 < p < 1\), \(a > 0\), the first parameter, and \(b > 0\), the second shape parameter.

Usage

dbetadist(x, a=1, b=1, log=FALSE)
pbetadist(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varbetadist(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esbetadist(p, a=1, b=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

a

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

b

the value of the second 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.

References

S. Nadarajah, S. Chan and E. Afuecheta, An R Package for value at risk and expected shortfall, submitted

Examples

# NOT RUN {
x=runif(10,min=0,max=1)
dbetadist(x)
pbetadist(x)
varbetadist(x)
esbetadist(x)
# }