law0038.AsymmetricPowerDistribution {PoweR} | R Documentation |
The Asymmetric Power Distribution
Description
Random generation for the Asymmetric Power Distribution with parameters theta
, phi
, alpha
and lambda
.
This generator is called by function gensample
to create random variables based on its parameters.
Details
If theta
, phi
, alpha
and lambda
are not specified they assume the default values of 0, 1, 0.5 and 2, respectively.
The Asymmetric Power Distribution with parameters theta
,
phi
, alpha
and lambda
has density:
f(u) = \frac{1}{\phi}\frac{\delta^{1/\lambda}_{\alpha,\lambda}}{\Gamma(1+1/\lambda)}\exp\left[-\frac{\delta_{\alpha,\lambda}}{\alpha^{\lambda}}\left|\frac{u-\theta}{\phi}\right|^{\lambda}\right]
if
u\leq0
and
f(u) =
\frac{1}{\phi}\frac{\delta^{1/\lambda}_{\alpha,\lambda}}{\Gamma(1+1/\lambda)}\exp\left[-\frac{\delta_{\alpha,\lambda}}{(1-\alpha)^{\lambda}}\left|\frac{u-\theta}{\phi}\right|^{\lambda}\right]
if
u\leq0,
where 0<\alpha<1, \lambda>0
and \delta_{\alpha,\lambda}=\frac{2\alpha^{\lambda}(1-\alpha)^{\lambda}}{\alpha^{\lambda}+(1-\alpha)^{\lambda}}
.
The mean and variance of APD are defined respectively by
E(U) = \theta+\phi\frac{\Gamma(2/\lambda)}{\Gamma(1/\lambda)} [1-2\alpha]\delta_{\alpha,\lambda}^{-1/\lambda}
and
V(U) = \phi^2
\frac{\Gamma(3/\lambda)\Gamma(1/\lambda)[1-3\alpha+3\alpha^2]-\Gamma(2/\lambda)^2[1-2\alpha]^2}{\Gamma^2(1/\lambda)}
\delta_{\alpha,\lambda}^{-2/\lambda}.
Author(s)
P. Lafaye de Micheaux, V. A. Tran
References
Pierre Lafaye de Micheaux, Viet Anh Tran (2016). PoweR: A Reproducible Research Tool to Ease Monte Carlo Power Simulation Studies for Goodness-of-fit Tests in R. Journal of Statistical Software, 69(3), 1–42. doi:10.18637/jss.v069.i03
Komunjer, I. (2007), Asymmetric Power Distribution: Theory and Applications to Risk Measurement, Journal of Applied Econometrics, 22, 891–921.
See Also
See Distributions
for other standard distributions.
Examples
res <- gensample(38,10000,law.pars=c(3,2,0.5,1))
res$law
res$law.pars
mean(res$sample)
sd(res$sample)