VaRES (version 1.0.1)

pareto: Pareto distribution

Description

Computes the pdf, cdf, value at risk and expected shortfall for the Pareto distribution due to Pareto (1964) given by $$\begin{array}{ll} &\displaystyle f (x) = c K^c x^{-c - 1}, \\ &\displaystyle F (x) = 1 - \left( \frac {K}{x} \right)^c, \\ &\displaystyle {\rm VaR}_p (X) = K (1 - p)^{-1 / c}, \\ &\displaystyle {\rm ES}_p (X) = \frac {K c}{p (1 - c)} (1 - p)^{1 - 1 / c} - \frac {K c}{p (1 - c)} \end{array}$$ for \(x \geq K\), \(0 < p < 1\), \(K > 0\), the scale parameter, and \(c > 0\), the shape parameter.

Usage

dpareto(x, K=1, c=1, log=FALSE)
ppareto(x, K=1, c=1, log.p=FALSE, lower.tail=TRUE)
varpareto(p, K=1, c=1, log.p=FALSE, lower.tail=TRUE)
espareto(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 scale parameter, must be positive, the default is 1

c

the value of the 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.

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)
dpareto(x)
ppareto(x)
varpareto(x)
espareto(x)
# }