Last data update: 2014.03.03
R: Utility Function
Utility Function
Description
Function evaluations for a Gamma Shape Mixture Model.
Usage
dgsm(x, weight, rateparam)
pgsm(q, weight, rateparam, lower.t = TRUE)
rgsm(n, weight, rateparam)
qgsm(p, x = NULL, weight, rateparam, alpha = .05, br = c(0, 1000), lower.t = TRUE)
Arguments
x, q
vector of quantiles.
n
number of observations.
p
vector of probabilities.
weight
vector of mixture weights.
rateparam
reciprocal of the shape parameter, as in GammaDist
.
alpha
outside the interval (alpha, 1 - alpha) the quantiles are found by searching for the root of F(x) - p = 0 .
br
a vector containing the end-points of the interval to be searched for the root.
lower.t
logical; if TRUE (default), probabilities are P[X <= x] otherwise, P[X > x] .
Details
The parametrisation implemented in this function is described in Venturini et al. (2008).
Value
dgsm
gives the density, pgsm
gives the distribution function, qgsm
gives the quantile function, and rgsm
generates random deviates.
Author(s)
Sergio Venturini sergio.venturini@unibocconi.it
References
Venturini, S., Dominici, F. and Parmigiani, G. (2008), "Gamma shape mixtures for heavy-tailed distributions". Annals of Applied Statistics, Volume 2 , Number 2, 756–776.
http://projecteuclid.org/euclid.aoas/1215118537
See Also
dgamma
,
pgamma
,
rgamma
,
uniroot
.
Results