Vares

Package ‘VaRES’
February 19, 2015

Type Package
Title Computes value at risk and expected shortfall for over 100
parametric distributions
Version 1.0
Date 2013-8-25
Author Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta
Maintainer Saralees Nadarajah <Saralees.Nadarajah@manchester.ac.uk>
Depends R (>= 2.15.0)
Description Computes Value at risk and expected shortfall, two most popular measures of finan-
cial risk, for over one hundred parametric distributions, including all commonly known distribu-
tions. Also computed are the corresponding probability density function and cumulative distri-
bution function.
License GPL (>= 2)
NeedsCompilation no
Repository CRAN
Date/Publication 2013-08-27 08:07:57
R topics documented:
VaRES-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
aep . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
arcsine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
ast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
asylaplace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
asypower . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
beard . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
betaburr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
betaburr7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
betadist . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
betaexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
betafrechet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
betagompertz . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1
2 R topics documented:
betagumbel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
betagumbel2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
betalognorm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
betalomax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
betanorm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
betapareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
betaweibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
BS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
burr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
burr7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
Cauchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
chen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
clg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
compbeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
dagum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
dweibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
expexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
expext . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
expgeo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
explog . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
explogis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
exponential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
exppois . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
exppower . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
expweibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
F. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
FR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
frechet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
genbeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
genbeta2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
geninvbeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
genlogis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
genlogis3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
genlogis4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
genpareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
genpowerweibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
genunif . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
gev . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
gompertz . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
gumbel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
gumbel2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
halfcauchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
halflogis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
halfnorm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
halfT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
HBlaplace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
HL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
R topics documented: 3
Hlogis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
invbeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
invexpexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
invgamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
kum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
kumburr7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
kumexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
kumgamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
kumgumbel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
kumhalfnorm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
kumloglogis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
kumnormal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
kumpareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
kumweibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
laplace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
lfr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
LNbeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
logbeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
logcauchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
loggamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
logisexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
logisrayleigh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
logistic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
loglaplace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
loglog . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
loglogis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
lognorm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
lomax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
Mlaplace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
moexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
moweibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
MRbeta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
nakagami . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
normal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
pareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
paretostable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
PCTAlaplace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
perks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
power1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
power2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
quad . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
rgamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
RS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
schabe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
secant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
stacygamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
T. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
TL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
4 aep
TL2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
triangular . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
tsp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
uniform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
weibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152
xie . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
Index 156
VaRES-package Computes value at risk and expected shortfall for over 100 parametric
distributions
Description
Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over
one hundred parametric distributions, including all commonly known distributions. Also computed
are the corresponding probability density function and cumulative distribution function.
Details
Package: VaRES
Type: Package
Version: 1.0
Date: 2013-8-25
License: GPL(>=2)
Author(s)
Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta

Maintainer: Saralees Nadarajah <Saralees.Nadarajah@manchester.ac.uk>
References
S. Nadarajah, S. Chan and E. Afuecheta, An R Package for value at risk and expected shortfall,
submitted
aep Asymmetric exponential power distribution

aep 5
Description
Computes the pdf, cdf, value at risk and expected shortfall for the asymmetric exponential power
distribution due to Zhu and Zinde-Walsh (2009) given by

α 1 x q1
K (q ) exp − , if x ≤ 0,

1

 ∗
 α q1 2α∗

f (x) = q
1−α 1 x 2


K (q2 ) exp − , if x > 0


 1 − α∗ q1 q2 2 − 2α
∗

1 |x| 1
αQ , , if x ≤ 0,


q1 2α∗ q1



F (x) = q2
1 |x| 1


 1 − (1 − α)Q , , if x > 0


q2 2 − 2α∗ q2
 q1
p 1 1
−2α∗ q1 Q−1

, , if p ≤ α,


α q1



VaRp (X) =
 q1
1−p 1
 2
 2 (1 − α∗ ) q2 Q−1

, , if p > α,


1 − α q2
 q1
 2α∗ p
Z
−1 v 1 1

 − q 1 Q , dv, if p ≤ α,



 p 0 α q1



q1
ESp (X) = 2α∗ α
Z
−1 v 1 1
 − q1 Q , dv
p 0 α q1




∗ Z p
q1
 + 2 (1 − α ) 1−v 1

2

−1

 q2 Q , dv, if p > α
p α 1 − α q2
for −∞ < x < ∞, 0 0, the first shape parame-
∗
R ∞ a−1 where α = αK (q1 ) / {αK (q1 ) + (1 − α)K (q2 )},
ter, and q2 > 0, the second shape parameter,
1
K(q) = 2q1/q Γ(1+1/q) , Q(a, x) = x t exp (−t) dt/Γ(a) denotes the regularized complemen-
R ∞ a−1
tary incomplete gamma function, Γ(a) = 0 t exp (−t) dt denotes the gamma function, and
Q−1 (a, x) denotes the inverse of Q(a, x).
Usage
daep(x, q1=1, q2=1, alpha=0.5, log=FALSE)
paep(x, q1=1, q2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE)
varaep(p, q1=1, q2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE)
esaep(p, q1=1, q2=1, alpha=0.5)
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
alpha the value of the scale parameter, must be in the unit interval, the default is 0.5
6 arcsine
q1 the value of the first shape parameter, must be positive, the default is 1
q2 the value of the second 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.
Author(s)
Saralees Nadarajah
References
submitted
Examples
x=runif(10,min=0,max=1)
daep(x)
paep(x)
varaep(x)
esaep(x)
arcsine Arcsine distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the arcsine distribution given by
1
f (x) = p ,
π (x − a)(b
r − x)
2 x−a
F (x) = arcsin ,
π b−a
πp
VaRp (X) = a + (b − a) sin2 ,
2
b − a p 2 πv
Z
ESp (X) = a + sin dv
p 0 2
for a ≤ x ≤ b, 0 < p < 1, −∞ < a < ∞, the first location parameter, and −∞ < a < b < ∞, the
second location parameter.
arcsine 7
Usage
darcsine(x, a=0, b=1, log=FALSE)

parcsine(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE)
vararcsine(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE)
esarcsine(p, a=0, b=1)
Arguments

to be computed
a the value of the first location parameter, can take any real value, the default is
zero
b the value of the second location parameter, can take any real value but must be
greater than a, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
darcsine(x)
parcsine(x)
vararcsine(x)
esarcsine(x)
8 ast
ast Generalized asymmetric Student’s t distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized asymmetric Student’s
t distribution due to Zhu and Galbraith (2010) given by
x 2 − ν12+1

 α 1
K (ν1 ) 1 + , if x ≤ 0,


∗ ν1 2α∗
 α



f (x) =

 1−α
" 2 #− ν22+1
1 x



 K (ν2 ) 1 + , if x > 0
1 − α∗ ν2 2 (1 − α∗ )


min(x, 0) max(x, 0)
F (x) = 2αFν1 − 1 + α + 2(1 − α)Fν2 ,
2α∗ 2 − 2α
∗

∗ −1 min(p, α) ∗ −1 max(p, α) + 1 − 2α
VaRp (X) = 2α Fν1 + 2 (1 − α ) Fν2 ,
2α 2− 2α
∗ Z p ∗ Z p

2α −1 min(v, α) 2 (1 − α ) −1 max(v, α) + 1 − 2α
ESp (X) = F dv + Fν2 dv
p 0 ν1 2α p 0 2 − 2α
for −∞ < x < ∞, 0 0, the first de-
gree of freedom parameter, and ν2 > 0, the second degree of freedom
√ parameter, where α∗ =
αK (ν1 ) / {αK (ν1 ) + (1 − α)K (ν2 )}, K(ν) = Γ ((ν + 1)/2) / [ πνΓ(ν/2)], Fν (·) denotes the
cdf of a Student’s t random variable with ν degrees of freedom, and Fν−1 (·) denotes the inverse of
Fν (·).
Usage
dast(x, nu1=1, nu2=1, alpha=0.5, log=FALSE)
past(x, nu1=1, nu2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE)
varast(p, nu1=1, nu2=1, alpha=0.5, log.p=FALSE, lower.tail=TRUE)
esast(p, nu1=1, nu2=1, alpha=0.5)
Arguments
to be computed
alpha the value of the scale parameter, must be in the unit interval, the default is 0.5
nu1 the value of the first degree of freedom parameter, must be positive, the default
is 1
nu2 the value of the second degree of freedom parameter, must be positive, the de-
fault is 1
asylaplace 9
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dast(x)
past(x)
varast(x)
esast(x)
asylaplace Asymmetric Laplace distribution

10 asylaplace
Description
Computes the pdf, cdf, value at risk and expected shortfall for the asymmetric Laplace distribution
due to Kotz et al. (2001) given by
 √ √ !
 κ 2 κ 2
exp − |x − θ| , if x ≥ θ,


2
 τ (1 + κ ) τ



f (x) =
 √ √ !

 κ 2 2
 τ (1 + κ2 ) exp − κτ |x − θ| , if x < θ,



 √ !
 1 κ 2(θ − x)
1− exp , if x ≥ θ,




 1+κ 2 τ

F (x) =
 2
√ !

 κ 2(x − θ)
 1 + κ2 exp , if x < θ,


κτ

 τ κ2
θ − √ log (1 − p) 1 + κ2 , if p ≥ 1+κ

 2,

 2κ
VaRp (X) =
κτ κ2
log p 1 + κ−2 ,

 θ+ √

if p < 1+κ 2,
 2 √
θ τ 2τ 1 + 2κ2
 + θ − √ log 1 + κ2 + log 1 + κ2


2
 p √ 2κ 2κ (1 + κ ) p




 2τ κ log κ θκ 2 τ 1 − κ4
− − + √


(1 + κ2 ) p (1 + κ2 ) p 2κ (1 + κ2 ) p


ESp (X) = τ (1 − p) τ (1 − p) κ2

 − √ + √ log(1 − p), if p ≥ 1+κ 2,
2κp 2κp






κτ κτ

κ2

 θ + √ log 1 + κ−2 + √ (log p − 1), if p < 1+κ

 2
2 2
for −∞ < x < ∞, 0 0, the first scale
parameter, and τ > 0, the second scale parameter.
Usage
dasylaplace(x, tau=1, kappa=1, theta=0, log=FALSE)
pasylaplace(x, tau=1, kappa=1, theta=0, log.p=FALSE, lower.tail=TRUE)
varasylaplace(p, tau=1, kappa=1, theta=0, log.p=FALSE, lower.tail=TRUE)
esasylaplace(p, tau=1, kappa=1, theta=0)
Arguments
to be computed
theta the value of the location parameter, can take any real value, the default is zero
kappa the value of the first scale parameter, must be positive, the default is 1
asypower 11
tau the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dasylaplace(x)
pasylaplace(x)
varasylaplace(x)
esasylaplace(x)
asypower Asymmetric power distribution

12 asypower
Description
Computes the pdf, cdf, value at risk and expected shortfall for the asymmetric power distribution
due to Komunjer (2007) given by
δ 1/λ

δ λ
exp − |x| , if x ≤ 0,


 Γ(1 + 1/λ) aλ


f (x) =
δ 1/λ

δ


 λ

 exp − λ
|x| , if x > 0
 Γ(1 + 1/λ) (1 − a)
δ √

a − aI λ|x|λ , 1/λ , if x ≤ 0,


aλ



F (x) =
√


 δ λ
 a − (1 − a)I λ|x| , 1/λ , if x > 0


 (1 − a)λ
1/λ 1/λ
aλ

 −1 p 1
− √ I 1− , , if p ≤ a,


a λ


 δ λ
VaRp (X) =
 1/λ 1/λ
(1 − a)λ

1−p 1


 − √ I −1 1 − , , if p > a,


δ λ 1−a λ
 1/λ Z p 1/λ
 1 aλ

−1 v 1

 − √ I 1 − , dv, if p ≤ a,
 p δ λ

 0 a λ




1/λ Z a 1/λ
ESp (X) = 1 aλ

−1 v 1
 − √ I 1 − , dv
p δ λ a λ

0


λ 1/λ Z p
 1/λ
− −


 1 (1 a) −1 1 v 1
 −
 √ I 1− , dv, if p > a
p δ λ a 1−a λ
for −∞ < x < ∞, 0 0, the second scale
1
R x√γ γ−1
parameter, and λ > 0, the shape parameter, where I(x, γ) = Γ(γ) 0
t exp(−t)dt.
Usage
dasypower(x, a=0.5, lambda=1, delta=1, log=FALSE)
pasypower(x, a=0.5, lambda=1, delta=1, log.p=FALSE, lower.tail=TRUE)
varasypower(p, a=0.5, lambda=1, delta=1, log.p=FALSE, lower.tail=TRUE)
esasypower(p, a=0.5, lambda=1, delta=1)
Arguments
to be computed
a the value of the first scale parameter, must be in the unit interval, the default is
0.5
delta the value of the second scale parameter, must be positive, the default is 1
lambda the value of the shape parameter, must be positive, the default is 1
beard 13

Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dasypower(x)
pasypower(x)
varasypower(x)
esasypower(x)
beard Beard distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Beard distribution due to Beard
(1959) given by
ρ−1/b
a exp(bx) [1 + aρ]
f (x) = ,
1+ρ−1/b
[1 + aρ exp(bx)]
ρ−1/b
[1 + aρ]
F (x) = 1 − ,
ρ−1/b
[1 + aρ
exp(bx)]
1 1 + aρ 1
VaRp (X) = log ρ1/b
− ,
bZ − p)
aρ(1 aρ
p
1 1 1 + aρ
ESp (X) = log − + dv
pb 0 aρ aρ(1 − v)ρ1/b
for x > 0, 0 0, the first scale parameter, b > 0, the second scale parameter, and
ρ > 0, the shape parameter.
14 beard
Usage
dbeard(x, a=1, b=1, rho=1, log=FALSE)

pbeard(x, a=1, b=1, rho=1, log.p=FALSE, lower.tail=TRUE)
varbeard(p, a=1, b=1, rho=1, log.p=FALSE, lower.tail=TRUE)
esbeard(p, a=1, b=1, rho=1)
Arguments

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
rho the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbeard(x)
pbeard(x)
varbeard(x)
esbeard(x)
betaburr 15
betaburr Beta Burr distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to
Parana\’iba et al. (2011) given by
babd h
−b
i−c−d
f (x) = 1 + (x/a) ,
B(c, d)xbd+1
F (x) = I 1 (c, d),
1+(x/a)−b
−1 1/b −1/b
VaRp (X) = aZ Ip (c, d) 1 − Ip−1 (c, d) ,
a p −1 1/b −1
−1/b
ESp (X) = Iv (c, d) 1 − Iv (c, d) dv
p 0
for x > 0, 0 0, the scale parameter, b > 0, the first shape parameter, R x c > 0,
the second shape parameter, and d > 0, the third shape parameter, where Ix (a, b) = 0 ta−1 (1 −
R1
t)b−1 dt/B(a, b) denotes the incomplete beta function ratio, B(a, b) = 0 ta−1 (1−t)b−1 dt denotes
the beta function, and Ix−1 (a, b) denotes the inverse function of Ix (a, b).
Usage
dbetaburr(x, a=1, b=1, c=1, d=1, log=FALSE)
pbetaburr(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
varbetaburr(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
esbetaburr(p, a=1, b=1, c=1, d=1)
Arguments
to be computed
a the value of the scale parameter, must be positive, the default is 1
b the value of the first shape parameter, must be positive, the default is 1
c the value of the second shape parameter, must be positive, the default is 1
d the value of the third shape parameter, must be positive, the default is 1
Value
16 betaburr7
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetaburr(x)
pbetaburr(x)
varbetaburr(x)
esbetaburr(x)
betaburr7 Beta Burr XII distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr XII distribution given
by
kcxc−1 h −k
ia−1
−bk−1
f (x) = 1 − (1 + xc ) (1 + xc ) ,
B(a, b)
F (x) = I1−(1+xc )−k (a, b),
n −1/k o1/c
VaRp (X) = 1 − Ip−1 (a, b) −1 ,
Z pn 1/c
1 −1/k
o
1 − Iv−1 (a, b)

ESp (X) = −1 dv
p 0
for x > 0, 0 0, the first shape parameter, b > 0, the second shape parameter, c > 0,
the third shape parameter, and k > 0, the fourth shape parameter.
Usage
dbetaburr7(x, a=1, b=1, c=1, k=1, log=FALSE)
pbetaburr7(x, a=1, b=1, c=1, k=1, log.p=FALSE, lower.tail=TRUE)
varbetaburr7(p, a=1, b=1, c=1, k=1, log.p=FALSE, lower.tail=TRUE)
esbetaburr7(p, a=1, b=1, c=1, k=1)
Arguments
to be computed
a the value of the first shape parameter, must be positive, the default is 1
betadist 17
b the value of the second shape parameter, must be positive, the default is 1
c the value of the third shape parameter, must be positive, the default is 1
k the value of the fourth shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetaburr7(x)
pbetaburr7(x)
varbetaburr7(x)
esbetaburr7(x)
betadist Beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta distribution given by
xa−1 (1 − x)b−1
f (x) = ,
B(a, b)
F (x) = Ix (a, b),
VaRp (X) = IZp−1 (a, b),
1 p −1
ESp (X) = I (a, b)dv
p 0 v
for 0 < x < 1, 0 0, the first parameter, and b > 0, the second shape parameter.
18 betadist
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

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetadist(x)
pbetadist(x)
varbetadist(x)
esbetadist(x)
betaexp 19
betaexp Beta exponential distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta exponential distribution due
to Nadarajah and Kotz (2006) given by
λ exp(−bλx) a−1
f (x) = [1 − exp(−λx)] ,
B(a, b)
F (x) = I1−exp(−λx) (a, b),
1
VaRp (X) = − log 1 − Ip−1 (a, b) ,

λZ p
1
log 1 − Iv−1 (a, b) dv

ESp (X) = −
pλ 0
for x > 0, 0 0, the first shapeR parameter, b > 0, the second shape parameter, and
x
λ > 0, the scale parameter, where Ix (a, b) = 0 ta−1 (1 − t)b−1 dt/B(a, b) denotes the incomplete
R 1 a−1
beta function ratio, B(a, b) = 0 t (1 − t)b−1 dt denotes the beta function, and Ix−1 (a, b) denotes
the inverse function of Ix (a, b).
Usage
dbetaexp(x, lambda=1, a=1, b=1, log=FALSE)
pbetaexp(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varbetaexp(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esbetaexp(p, lambda=1, a=1, b=1)
Arguments
to be computed
lambda the value of the scale parameter, must be positive, the default is 1
Value
20 betafrechet
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetaexp(x)
pbetaexp(x)
varbetaexp(x)
esbetaexp(x)
betafrechet Beta Frechet distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\’echet distribution due to
Barreto-Souza et al. (2011) given by
ασ α n σ α o h n σ α oib−1
f (x) = exp −a 1 − exp − ,
xα+1 B(a, b) x x
F (x) = Iexp{−( σ )α } (a, b),
x −1/α
VaRp (X) = σZ − log Ip−1 (a, b) ,
σ p −1
−1/α
ESp (X) = − log Iv (a, b) dv
p 0
for x > 0, 0 0, the first shape parameter, σ > 0, the scale parameter, b > 0, the
second shape parameter, and α > 0, the third shape parameter.
Usage
dbetafrechet(x, a=1, b=1, alpha=1, sigma=1, log=FALSE)
pbetafrechet(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
varbetafrechet(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
esbetafrechet(p, a=1, b=1, alpha=1, sigma=1)
Arguments
to be computed
sigma the value of the scale parameter, must be positive, the default is 1
betagompertz 21
alpha the value of the third shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetafrechet(x)
pbetafrechet(x)
varbetafrechet(x)
esbetafrechet(x)
betagompertz Beta Gompertz distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Gompertz distribution due
to Cordeiro et al. (2012b) given by
bη exp(bx) c−1
f (x) = exp (dη) exp [−dη exp(bx)] {1 − exp [η − η exp(bx)]} ,
B(c, d)
F (x) = I1−exp[η−ηexp(bx)] (c, d),
1 1
VaRp (X) = log 1 − log 1 − Ip−1 (c, d) ,

bZ η
p
1 1
log 1 − log 1 − Iv−1 (c, d) dv

ESp (X) =
pb 0 η
for x > 0, 0 0, the first scale parameter, η > 0, the second scale parameter, c > 0,
the first shape parameter, and d > 0, the second shape parameter.
22 betagompertz
Usage
dbetagompertz(x, b=1, c=1, d=1, eta=1, log=FALSE)

pbetagompertz(x, b=1, c=1, d=1, eta=1, log.p=FALSE, lower.tail=TRUE)
varbetagompertz(p, b=1, c=1, d=1, eta=1, log.p=FALSE, lower.tail=TRUE)
esbetagompertz(p, b=1, c=1, d=1, eta=1)
Arguments

to be computed
b the value of the first scale parameter, must be positive, the default is 1
eta the value of the second scale parameter, must be positive, the default is 1
c the value of the first shape parameter, must be positive, the default is 1
d the value of the second shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetagompertz(x)
pbetagompertz(x)
varbetagompertz(x)
esbetagompertz(x)
betagumbel 23
betagumbel Beta Gumbel distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Gumbel distribution due to
Nadarajah and Kotz (2004) given by
b−1
1 µ−x µ−x µ−x
f (x) = exp exp −a exp 1 − exp − exp ,
σB(a, b) σ σ σ
F (x) = Iexp[− exp µ−x ] (a, b),
σ
VaRp (X) = µ − σZlog − log Ip−1 (a, b) ,

σ p
log − log Iv−1 (a, b) dv

ESp (X) = µ −
p 0
for −∞ < x < ∞, 0 0, the scale parameter,
a > 0, the first shape parameter, and b > 0, the second shape parameter.
Usage
dbetagumbel(x, a=1, b=1, mu=0, sigma=1, log=FALSE)
pbetagumbel(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varbetagumbel(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esbetagumbel(p, a=1, b=1, mu=0, sigma=1)
Arguments
to be computed
mu the value of the location parameter, can take any real value, the default is zero
Value
Author(s)
Saralees Nadarajah
24 betagumbel2
References
submitted
Examples
dbetagumbel(x)
pbetagumbel(x)
varbetagumbel(x)
esbetagumbel(x)
betagumbel2 Beta Gumbel 2 distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Gumbel II distribution given
by
abx−a−1 c−1
exp −bdx−a 1 − exp −bx−a

f (x) = ,
B(c, d)
F (x) = I1−exp(−bx−a ) (c, d),
−1/a
VaRp (X) = b1/a − log 1 − Ip−1 (c, d)

,
b1/a p
Z
−1/a
− log 1 − Iv−1 (c, d)

ESp (X) = dv
p 0
for x > 0, 0 0, the first shape parameter, b > 0, the scale parameter, c > 0, the
second shape parameter, and d > 0, the third shape parameter.
Usage
dbetagumbel2(x, a=1, b=1, c=1, d=1, log=FALSE)
pbetagumbel2(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
varbetagumbel2(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
esbetagumbel2(p, a=1, b=1, c=1, d=1)
Arguments
to be computed
b the value of the scale parameter, must be positive, the default is 1
betalognorm 25
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetagumbel2(x)
pbetagumbel2(x)
varbetagumbel2(x)
#esbetagumbel2(x)
betalognorm Beta lognormal distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta lognormal distribution due
to Castellares et al. (2013) given by

1 log x − µ a−1 log x − µ b−1 µ − log x
f (x) = φ Φ Φ ,
σxB(a, b) σ σ σ
F (x) = IΦ( log x−µ ) (a, b),
σ
VaRp (X) = exp µZ+ σΦ−1 Ip−1 (a, b) ,

exp(µ) p
exp σΦ−1 Iv−1 (a, b) dv

ESp (X) =
p 0
for x > 0, 0 0, the scale parameter, a > 0,
the first shape parameter, and b > 0, the second shape parameter, where φ(·) denotes the pdf of a
standard normal random variable, and Φ(·) denotes the cdf of a standard normal random variable.
Usage
dbetalognorm(x, a=1, b=1, mu=0, sigma=1, log=FALSE)
pbetalognorm(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varbetalognorm(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esbetalognorm(p, a=1, b=1, mu=0, sigma=1)
26 betalomax
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetalognorm(x)
pbetalognorm(x)
varbetalognorm(x)
esbetalognorm(x)
betalomax Beta Lomax distribution

betalomax 27
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Lomax distribution due to
Lemonte and Cordeiro (2013) given by
a−1
α x −bα−1 x −α
f (x) = 1+ 1− 1+ ,
λB(a, b) λ λ
F (x) = I1−(1+ x )−α (a, b),
λ −1/α
VaRp (X) = λZ 1 − Ip−1 (a, b) − λ,
λ p −1/α
1 − Iv−1 (a, b)

ESp (X) = dv − λ
p 0
for x > 0, 0 0, the first shape parameter, b > 0, the second shape parameter, α > 0,
the third shape parameter, and λ > 0, the scale parameter.
Usage
dbetalomax(x, a=1, b=1, alpha=1, lambda=1, log=FALSE)
pbetalomax(x, a=1, b=1, alpha=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
varbetalomax(p, a=1, b=1, alpha=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
esbetalomax(p, a=1, b=1, alpha=1, lambda=1)
Arguments
to be computed
alpha the value of the third scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
28 betanorm
Examples
dbetalomax(x)
pbetalomax(x)
varbetalomax(x)
esbetalomax(x)
betanorm Beta normal distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta normal distribution due to
Eugene et al. (2002) given by

1 x−µ x−µ µ−x
f (x) = φ Φa−1 Φb−1 ,
σB(a, b) σ σ σ
F (x) = IΦ( x−µ ) (a, b),
σ
−1 −1

VaRp (X) = µ + σΦ Ip (a, b) ,
σ p −1 −1
Z

ESp (X) = µ + Φ Iv (a, b) dv
p 0
Usage
dbetanorm(x, mu=0, sigma=1, a=1, b=1, log=FALSE)
pbetanorm(x, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varbetanorm(p, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esbetanorm(p, mu=0, sigma=1, a=1, b=1)
Arguments
to be computed
betapareto 29
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetanorm(x)
pbetanorm(x)
varbetanorm(x)
esbetanorm(x)
betapareto Beta Pareto distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Pareto distribution due to
Akinsete et al. (2008) given by
a c−1
aK ad x−ad−1

K
f (x) = 1− ,
B(c, d) x
F (x) = I1−( K )a (c, d),
x
−1/a
VaRp (X) = KZ 1 − Ip−1 (c, d)

,
p
K −1
−1/a
ESp (X) = 1 − Iv (c, d) dv
p 0
for x ≥ K, 0 0, the scale parameter, a > 0, the first shape parameter, c > 0, the
Usage
dbetapareto(x, K=1, a=1, c=1, d=1, log=FALSE)
pbetapareto(x, K=1, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
varbetapareto(p, K=1, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
esbetapareto(p, K=1, a=1, c=1, d=1)
30 betaweibull
Arguments

to be computed
K the value of the scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dbetapareto(x)
pbetapareto(x)
varbetapareto(x)
esbetapareto(x)
betaweibull Beta Weibull distribution

betaweibull 31
Description
Computes the pdf, cdf, value at risk and expected shortfall for the beta Weibull distribution due to
Cordeiro et al. (2012b) given by
αxα−1 n x α o h n x α oia−1
f (x) = exp −b 1 − exp − ,
σ α B(a, b) σ σ
F (x) = I1−exp{−( x )α } (a, b),
σ 1/α
VaRp (X) = σZ − log 1 − Ip−1 (a, b) ,
σ p −1
1/α
ESp (X) = − log 1 − Iv (a, b) dv
p 0
the third shape parameter, and σ > 0, the scale parameter.
Usage
dbetaweibull(x, a=1, b=1, alpha=1, sigma=1, log=FALSE)
pbetaweibull(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
varbetaweibull(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
esbetaweibull(p, a=1, b=1, alpha=1, sigma=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
32 BS
Examples
dbetaweibull(x)
pbetaweibull(x)
varbetaweibull(x)
esbetaweibull(x)
BS Birnbaum-Saunders distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Birnbaum-Saunders distribution
due to Birnbaum and Saunders (1969a, 1969b) given by
x1/2 + x−1/2 x − x−1/2
1/2
f (x) = φ ,
2γx γ
x1/2 − x−1/2

F (x) = Φ ,
γ
2
1
q
−1 2 −1 2
VaRp (X) = γΦ (p) + 4 + γ [Φ (p)] ,
4
Z p 2
1
q
2
ESp (X) = γΦ−1 (v) + 4 + γ 2 [Φ−1 (v)] dv
4p 0
for x > 0, 0 0, the scale parameter.
Usage
dBS(x, gamma=1, log=FALSE)
pBS(x, gamma=1, log.p=FALSE, lower.tail=TRUE)
varBS(p, gamma=1, log.p=FALSE, lower.tail=TRUE)
esBS(p, gamma=1)
Arguments
to be computed
gamma the value of the scale parameter, must be positive, the default is 1
Value
burr 33
Author(s)
Saralees Nadarajah
References
submitted
Examples
dBS(x)
pBS(x)
varBS(x)
esBS(x)
burr Burr distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Burr distribution due to Burr
(1942) given by
bab h −b
i−2
f (x) = b+1 1 + (x/a) ,
x
1
F (x) = −b
,
1 + (x/a)
VaRp (X) = ap1/b (1 − p)−1/b ,
a
ESp (X) = Bp (1/b + 1, 1 − 1/b)
p
for x > 0, R0 0, the scale parameter, and b > 0, the shape parameter, where
x
Bx (a, b) = 0 ta−1 (1 − t)b−1 dt denotes the incomplete beta function.
Usage
dburr(x, a=1, b=1, log=FALSE)
pburr(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varburr(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esburr(p, a=1, b=1)
Arguments
to be computed
b the value of the shape parameter, must be positive, the default is 1
34 burr7

Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dburr(x)
pburr(x)
varburr(x)
esburr(x)
burr7 Burr XII distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Burr XII distribution due to Burr
(1942) given by
kcxc−1
f (x) = k+1
,
(1 + xc )
−k
F (x) = 1 − (1 + xc ) ,
h i1/c
VaRp (X) = (1 − p)−1/k − 1 ,
Z ph i1/c
1
ESp (X) = (1 − v)−1/k − 1 dv
p 0
for x > 0, 0 0, the first shape parameter, and k > 0, the second shape parameter.
Usage
dburr7(x, k=1, c=1, log=FALSE)
pburr7(x, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
varburr7(p, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
esburr7(p, k=1, c=1)
Cauchy 35
Arguments
to be computed
k the value of the first shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dburr7(x)
pburr7(x)
varburr7(x)
esburr7(x)
Cauchy Cauchy distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Cauchy distribution given by
1 σ
f (x) = ,
π (x − µ)2 + σ2
1 1 x−µ
F (x) = + arctan ,
2 π σ
1
VaRp (X) = µ + σ tan π p − ,
Z p 2
σ 1
ESp (X) = µ + tan π v − dv
p 0 2
36 Cauchy
for −∞ < x < ∞, 0 0, the scale
parameter.
Usage
dCauchy(x, mu=0, sigma=1, log=FALSE)

pCauchy(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varCauchy(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esCauchy(p, mu=0, sigma=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dCauchy(x)
pCauchy(x)
varCauchy(x)
esCauchy(x)
chen 37
chen Chen distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Chen distribution due to Chen
(2000) given by
f (x) = λbxb−1 exp b
− λ exp xb ,

x exp λb
F (x) = 1 − exp λ − λ exp x ,
1/b
log(1 − p)
VaRp (X) = log 1 − ,
λ
Z p 1/b
1 log(1 − v)
ESp (X) = log 1 − dv
p 0 λ
for x > 0, 0 0, the shape parameter, and λ > 0, the scale parameter.
Usage
dchen(x, b=1, lambda=1, log=FALSE)
pchen(x, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
varchen(p, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
eschen(p, b=1, lambda=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
38 clg
Examples
dchen(x)
pchen(x)
varchen(x)
eschen(x)
clg Compound Laplace gamma distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the compound Laplace gamma dis-
tribution given by
ab −(a+1)
f (x) = {1 + b |x − θ|} ,
2
 1
−a
 2 {1 + b |x − θ|} , if x ≤ θ,


F (x) =
 1 − 1 {1 + b |x − θ|}−a , if x > θ,


 2
1 (2p)−1/a
 θ− b − , if p ≤ 1/2,


b

VaRp (X) =
−1/a
 θ − 1 + (2(1 − p))



, if p > 1/2,
b b
−1/a

1 (2p)

 θ− − , if p ≤ 1/2,
b b(1 − 1/a)



ESp (X) =
1−1/a
1 [2(1 − p)]



 θ− −
 , if p > 1/2
b 2pb(1 − 1/a)
for −∞ < x < ∞, 0 0, the scale parameter,
and a > 0, the shape parameter.
Usage
dclg(x, a=1, b=1, theta=0, log=FALSE)
pclg(x, a=1, b=1, theta=0, log.p=FALSE, lower.tail=TRUE)
varclg(p, a=1, b=1, theta=0, log.p=FALSE, lower.tail=TRUE)
esclg(p, a=1, b=1, theta=0)
Arguments
to be computed
compbeta 39
a the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dclg(x)
pclg(x)
varclg(x)
esclg(x)
compbeta Complementary beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the complementary beta distribution
due to Jones (2002) given by
1−a 1−b
f (x) = B(a, b) Ix−1 (a, b) 1 − Ix−1 (a, b)

,
F (x) = Ix−1 (a, b),
VaRp (X) = IZp (a, b),
1 p
ESp (X) = Iv (a, b)dv
p 0
for 0 < x < 1, 0 0, the first shape parameter, and b > 0, the second shape parameter.
40 compbeta
Usage
dcompbeta(x, a=1, b=1, log=FALSE)

pcompbeta(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varcompbeta(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
escompbeta(p, a=1, b=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dcompbeta(x)
pcompbeta(x)
varcompbeta(x)
escompbeta(x)
dagum 41
dagum Dagum distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Dagum distribution due to Dagum
(1975, 1977, 1980) given by
acba xac−1
f (x) = c+1 ,
[xa + ba ]
a −c
b
F (x) = 1 + ,
x
−1/a
VaRp (X) = b 1 − p−1/c ,
b p −1/a
Z
ESp (X) = 1 − v −1/c dv
p 0
for x > 0, 0 0, the first shape parameter, b > 0, the scale parameter, and c > 0, the
second shape parameter.
Usage
ddagum(x, a=1, b=1, c=1, log=FALSE)
pdagum(x, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
vardagum(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
esdagum(p, a=1, b=1, c=1)
Arguments
to be computed
Value
42 dweibull
Author(s)
Saralees Nadarajah
References
submitted
Examples
ddagum(x)
pdagum(x)
vardagum(x)
esdagum(x)
dweibull Double Weibull distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the double Weibull distribution due
to Balakrishnan and Kocherlakota (1985) given by
x − µ c−1 x − µ c

c
f (x) = exp − ,
2σ

σ
c σ

1 µ−x
exp − , if x ≤ µ,


2 σ



F (x) = c
1 x−µ


 1 − exp − , if x > µ,


 2 σ
1/c
 µ − σ [− log (2p)] , if p ≤ 1/2,
VaRp (X) =
 1/c
 µ + σZ[−p log (2(1 − p))] , if p > 1/2,
σ 1/c
 µ − p 0 [− log 2 − log v] dv, if p ≤ 1/2,








σ 1/2
Z
ESp (X) = 1/c
 µ− [− log 2 − log v] dv

 p Z0
σ p


 1/c
+ [− log 2 − log(1 − v)] dv, if p > 1/2


p 1/2

and c > 0, the shape parameter.
dweibull 43
Usage
ddweibull(x, c=1, mu=0, sigma=1, log=FALSE)

pdweibull(x, c=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
vardweibull(p, c=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esdweibull(p, c=1, mu=0, sigma=1)
Arguments

to be computed
c the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
ddweibull(x)
pdweibull(x)
vardweibull(x)
esdweibull(x)
44 expexp
expexp Exponentiated exponential distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponentiated exponential distri-
bution due to Gupta and Kundu (1999, 2001) given by
a−1
f (x) = aλ exp(−λx) [1 − exp(−λx)] ,
a
F (x) = [1 − exp(−λx)] ,
1
VaRp (X) = − log 1 − p1/a ,
λZ p
1
ESp (X) = − log 1 − v 1/a dv
pλ 0
for x > 0, 0 0, the shape parameter and λ > 0, the scale parameter.
Usage
dexpexp(x, lambda=1, a=1, log=FALSE)
pexpexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
varexpexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
esexpexp(p, lambda=1, a=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
expext 45
Examples
dexpexp(x)
pexpexp(x)
varexpexp(x)
esexpexp(x)
expext Exponential extension distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponential extension distribution
due to Nadarajah and Haghighi (2011) given by
f (x) = aλ(1 + λx)a−1 exp [1 − (1 + λx)a ] ,

F (x) = 1 − exp [1 − (1 + λx)a ] ,
1/a
[1 − log(1 − p)] −1
VaRp (X) = ,
Z λ
p
1 1 1/a
ESp (X) = − + [1 − log(1 − v)] dv
λ λp 0
Usage
dexpext(x, lambda=1, a=1, log=FALSE)
pexpext(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
varexpext(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
esexpext(p, lambda=1, a=1)
Arguments
to be computed
Value
46 expgeo
Author(s)
Saralees Nadarajah
References
submitted
Examples
dexpext(x)
pexpext(x)
varexpext(x)
esexpext(x)
expgeo Exponential geometric distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponential geometric distribution
due to Adamidis and Loukas (1998) given by
λθ exp(−λx)
f (x) = 2,
[1 − (1 − θ) exp(−λx)]
θ exp(−λx)
F (x) = ,
1 − (1 − θ) exp(−λx)
1 p
VaRp (X) = − log ,
λ θ + (1 − θ)p
log p θ log θ θ + (1 − θ)p
ESp (X) = − − + log [θ + (1 − θ)p]
λ λp(1 − θ) λp(1 − θ)
for x > 0, 0 0, the second scale parameter.
Usage
dexpgeo(x, theta=0.5, lambda=1, log=FALSE)
pexpgeo(x, theta=0.5, lambda=1, log.p=FALSE, lower.tail=TRUE)
varexpgeo(p, theta=0.5, lambda=1, log.p=FALSE, lower.tail=TRUE)
esexpgeo(p, theta=0.5, lambda=1)
Arguments
to be computed
explog 47
theta the value of the first scale parameter, must be in the unit interval, the default is
0.5
lambda the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dexpgeo(x)
pexpgeo(x)
varexpgeo(x)
esexpgeo(x)
explog Exponential logarithmic distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponential logarithmic distribu-
tion due to Tahmasbi and Rezaei (2008) given by
b(1 − a) exp(−bx)
f (x) = − ,
log a [1 − (1 − a) exp(−bx)]
log [1 − (1 − a) exp(−bx)]
F (x) = 1 − ,
log a1−p
1 1−a
bZ 1 − a
p
1 − a1−v

1
ESp (X) = − log dv
bp 0 1−a
for x > 0, 0 0, the second scale parameter.
48 explog
Usage
dexplog(x, a=0.5, b=1, log=FALSE)

pexplog(x, a=0.5, b=1, log.p=FALSE, lower.tail=TRUE)
varexplog(p, a=0.5, b=1, log.p=FALSE, lower.tail=TRUE)
esexplog(p, a=0.5, b=1)
Arguments

to be computed
0.5
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dexplog(x)
pexplog(x)
varexplog(x)
esexplog(x)
explogis 49
explogis Exponentiated logistic distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponentiated logistic distribution
given by
−a−1
f (x) = (a/b) exp(−x/b) [1 + exp(−x/b)] ,
−a
F (x) = [1 + exp(−x/b)]
h , i
VaRp (X) = −b log p−1/a − 1 ,
b p
Z h i
ESp (X) = − log v −1/a − 1 dv
p 0
for −∞ < x < ∞, 0 0, the shape parameter, and b > 0, the scale parameter.
Usage
dexplogis(x, a=1, b=1, log=FALSE)
pexplogis(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varexplogis(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esexplogis(p, a=1, b=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
50 exponential
Examples
dexplogis(x)
pexplogis(x)
varexplogis(x)
esexplogis(x)
exponential Exponential distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponential distribution given by
f (x) = λ exp(−λx),
F (x) = 1 − exp(−λx),
1
VaRp (X) = − log(1 − p),
λ
1
ESp (X) = − {log(1 − p)p − p − log(1 − p)}
pλ
for x > 0, 0 0, the scale parameter.
Usage
dexponential(x, lambda=1, log=FALSE)
pexponential(x, lambda=1, log.p=FALSE, lower.tail=TRUE)
varexponential(p, lambda=1, log.p=FALSE, lower.tail=TRUE)
esexponential(p, lambda=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
exppois 51
References
submitted
Examples
dexponential(x)
pexponential(x)
varexponential(x)
esexponential(x)
exppois Exponential Poisson distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponential Poisson distribution
due to Kus (2007) given by
bλ exp [−bx − λ + λ exp(−bx)]
f (x) = ,
1 − exp(−λ)
1 − exp [−λ + λ exp(−bx)]
F (x) = ,
1 − exp(−λ)

1 1
VaRp (X) = − log log [1 − p + p exp(−λ)] + 1 ,
bZ λ
p
1 1
ESp (X) = − log log [1 − v + v exp(−λ)] + 1 dv
bp 0 λ
for x > 0, 0 0, the first scale parameter, and λ > 0, the second scale parameter.
Usage
dexppois(x, b=1, lambda=1, log=FALSE)
pexppois(x, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
varexppois(p, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
esexppois(p, b=1, lambda=1)
Arguments
to be computed
52 exppower
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dexppois(x)
pexppois(x)
varexppois(x)
esexppois(x)
exppower Exponential power distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponential power distribution
due to Subbotin (1923) given by
| x − µ |a

1
f (x) = 1/a exp − ,
2a
 σΓ(1 + 1/a) a aσ a
1 1 (µ − x)
 2 Q a , aσ a , if x ≤ µ,




F (x) =
1 (x − µ)a


 1
 1− Q , , if x > µ,


 2 a aσ a
1/a
 1/a −1 1
µ − a σ Q , 2p , if p ≤ 1/2,


a

VaRp (X) =

 1/a
µ + a1/a σ Q−1 a1 , 2(1 − p)

, if p > 1/2,


1/a Z p 1/a
a σ 1
µ− Q−1 , 2v dv, if p ≤ 1/2,






 p 0 a


 1/a
a1/a σ 1/2
Z
ESp (X) = −1 1
 µ − Q , 2v dv


 p 0 a
1/a
a1/a σ p
 Z
1


 + Q−1 , 2(1 − v) dv, if p > 1/2


p 1/2 a
exppower 53
Usage
dexppower(x, mu=0, sigma=1, a=1, log=FALSE)
pexppower(x, mu=0, sigma=1, a=1, log.p=FALSE, lower.tail=TRUE)
varexppower(p, mu=0, sigma=1, a=1, log.p=FALSE, lower.tail=TRUE)
esexppower(p, mu=0, sigma=1, a=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dexppower(x)
pexppower(x)
varexppower(x)
esexppower(x)
54 expweibull
expweibull Exponentiated Weibull distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the exponentiated Weibull distribution
due to Mudholkar and Srivastava (1993) and Mudholkar et al. (1995) given by
a−1
f (x) = aασ −α xα−1 exp [−(x/σ)α ] {1 − exp [−(x/σ)α ]} ,
a
F (x) = {1 − exp [−(x/σ)α ]} ,
h i1/α
VaRp (X) = σ − log 1 − p1/a ,
σ ph
Z i1/α
ESp (X) = − log 1 − v 1/a dv
p 0
for x > 0, 0 0, the first shape parameter, α > 0, the second shape parameter, and
σ > 0, the scale parameter.
Usage
dexpweibull(x, a=1, alpha=1, sigma=1, log=FALSE)
pexpweibull(x, a=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
varexpweibull(p, a=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
esexpweibull(p, a=1, alpha=1, sigma=1)
Arguments
to be computed
alpha the value of the second shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
F 55
References
submitted
Examples
dexpweibull(x)
pexpweibull(x)
varexpweibull(x)
esexpweibull(x)
F F distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the F distribution given by
d1 − d1 +d2
1 d1 2 d1 −1 d1 2
f (x) = x 2 1+ x ,
B d21 , d2

2 d2 d2
d1 d2
F (x) = I d1 x , ,
d1 x+d2 2 2
d d
d2 Ip−1 21 , 22

VaRp (X) = ,
d1 1 − Ip−1 d21 , d22
Iv−1 d21 , d22
Z p
d2
ESp (X) = dv
d1 p 0 1 − Iv−1 d21 , d22
for x ≥ K, 0 0, the first degree of freedom parameter, and d2 > 0, the second
degree of freedom parameter.
Usage
dF(x, d1=1, d2=1, log=FALSE)
pF(x, d1=1, d2=1, log.p=FALSE, lower.tail=TRUE)
varF(p, d1=1, d2=1, log.p=FALSE, lower.tail=TRUE)
esF(p, d1=1, d2=1)
Arguments
to be computed
d1 the value of the first degree of freedom parameter, must be positive, the default
is 1
56 FR
d2 the value of the second degree of freedom parameter, must be positive, the de-
fault is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dF(x)
pF(x)
varF(x)
esF(x)
FR Freimer distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Freimer distribution due to
Freimer et al. (1988) given by
1 pb − 1 (1 − p)c − 1

VaRp (X) = − ,
a b c
1 1 1 pb (1 − p)c+1 − 1
ESp (X) = − + +
a c b ab(b + 1) pac(c + 1)
for 0 0, the scale parameter, b > 0, the first shape parameter, and c > 0, the second
shape parameter.
Usage
varFR(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
esFR(p, a=1, b=1, c=1)
frechet 57
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
varFR(x)
esFR(x)
frechet Frechet distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Fr\’echet distribution due to
Fr\’echet (1927) given by
ασ α n σ α o
f (x) = α+1 exp − ,
x n α ox
σ
F (x) = exp − ,
x
−1/α
VaRp (X) = σ [− log p] ,
σ
ESp (X) = Γ (1 − 1/α, − log p)
p
for x > 0,R 0 0, the shape parameter, and σ > 0, the scale parameter, where
∞
Γ(a, x) = x ta−1 exp (−t) dt denotes the complementary incomplete gamma function.
58 frechet
Usage
dfrechet(x, alpha=1, sigma=1, log=FALSE)

pfrechet(x, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
varfrechet(p, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
esfrechet(p, alpha=1, sigma=1)
Arguments

to be computed
alpha the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dfrechet(x)
pfrechet(x)
varfrechet(x)
esfrechet(x)
Gamma 59
Gamma Gamma distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the gamma distribution given by
ba xa−1 exp(−bx)
f (x) = ,
Γ(a)
γ(a, bx)
F (x) = ,
Γ(a)
1
VaRp (X) = Q−1 (a, 1 − p),
bZ p
1
ESp (X) = Q−1 (a, 1 − v)dv
bp 0
R x xa−1
for > 0, 0 0, the scale parameter, and a > 0, the shape parameter,
R ∞ a−1 where γ(a, x) =
0
t exp (−t) dt denotes the incomplete gamma function, Q(a, x) = x
t exp (−t) dt/Γ(a)
R∞
denotes the regularized complementary incomplete gamma function, Γ(a) = 0 ta−1 exp (−t) dt
denotes the gamma function, and Q−1 (a, x) denotes the inverse of Q(a, x).
Usage
dGamma(x, a=1, b=1, log=FALSE)
pGamma(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varGamma(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esGamma(p, a=1, b=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
60 genbeta
References
submitted
Examples
dGamma(x)
pGamma(x)
varGamma(x)
esGamma(x)
genbeta Generalized beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized beta distribution
given by
(x − c)a−1 (d − x)b−1
f (x) = ,
B(a, b)(d − c)a+b−1
F (x) = I x−c (a, b),
d−c
VaRp (X) = c + (d −Zc)Ip−1 (a, b),
d − c p −1
ESp (X) = c + Iv (a, b)dv
p 0
for c ≤ x ≤ d, 0 0, the first shape parameter, b > 0, the second shape parameter,
−∞ < c < ∞, the first location parameter, and −∞ < c < d < ∞, the second location parameter.
Usage
dgenbeta(x, a=1, b=1, c=0, d=1, log=FALSE)
pgenbeta(x, a=1, b=1, c=0, d=1, log.p=FALSE, lower.tail=TRUE)
vargenbeta(p, a=1, b=1, c=0, d=1, log.p=FALSE, lower.tail=TRUE)
esgenbeta(p, a=1, b=1, c=0, d=1)
Arguments
to be computed
c the value of the first location parameter, can take any real value, the default is
zero
d the value of the second location parameter, can take any real value but must be
greater than c, the default is 1
genbeta2 61
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgenbeta(x)
pgenbeta(x)
vargenbeta(x)
esgenbeta(x)
genbeta2 Generalized beta II distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized beta II distribution
given by
b−1
cxac−1 (1 − xc )
f (x) = ,
B(a, b)
F (x) = Ixc (a, b),
1/c
VaRp (X) = ZIp−1 (a, b)

,
1 p −1 1/c
ESp (X) = Iv (a, b) dv
p 0
for 0 < x < 1, 0 0, the first shape parameter, b > 0, the second shape parameter, and
c > 0, the third shape parameter.
62 genbeta2
Usage
dgenbeta2(x, a=1, b=1, c=1, log=FALSE)

pgenbeta2(x, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
vargenbeta2(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
esgenbeta2(p, a=1, b=1, c=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgenbeta2(x)
pgenbeta2(x)
vargenbeta2(x)
esgenbeta2(x)
geninvbeta 63
geninvbeta Generalized inverse beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized inverse beta distribu-
tion given by
axac−1
f (x) = c+d
,
B(c, d) (1 + xa )
F (x) = I xa a (c, d),
1+x
" #1/a
Ip−1 (c, d)
VaRp (X) = ,
1 − Ip−1 (c, d)
1/a
1 p
Z −1
Iv (c, d)
ESp (X) = dv
p 0 1 − Iv−1 (c, d)
for x > 0, 0 0, the first shape parameter, c > 0, the second shape parameter, and
d > 0, the third shape parameter.
Usage
dgeninvbeta(x, a=1, c=1, d=1, log=FALSE)
pgeninvbeta(x, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
vargeninvbeta(p, a=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
esgeninvbeta(p, a=1, c=1, d=1)
Arguments
to be computed
d the value of the second shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
64 genlogis
References
submitted
Examples
dgeninvbeta(x)
pgeninvbeta(x)
vargeninvbeta(x)
esgeninvbeta(x)
genlogis Generalized logistic distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized logistic distribution
given by
a exp − x−µ

σ
f (x) = 1+a ,
σ 1 + exp − x−µ σ
1
F (x) = a ,
1 + exp − x−µσ

VaRp (X) = µ − σ log p−1/a − 1 ,
σ p
Z
ESp (X) = µ − log v −1/a − 1 dv
p 0
Usage
dgenlogis(x, a=1, mu=0, sigma=1, log=FALSE)
pgenlogis(x, a=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
vargenlogis(p, a=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esgenlogis(p, a=1, mu=0, sigma=1)
Arguments
to be computed
genlogis3 65

Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgenlogis(x)
pgenlogis(x)
vargenlogis(x)
esgenlogis(x)
genlogis3 Generalized logistic III distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized logistic III distribution
given by
−2α
1 x−µ x−µ
f (x) = exp α 1 + exp ,
σB(α, α) σ σ
F (x) = I 1
x−µ
(α, α),
1+exp(−
σ )
1 − Ip−1 (α, α)
VaRp (X) = µ − σ log −1 ,
Z p Ip (α,−1 α)
σ 1 − Iv (α, α)
ESp (X) = µ − log dv
p 0 Iv−1 (α, α)
and α > 0, the shape parameter.
66 genlogis3
Usage
dgenlogis3(x, alpha=1, mu=0, sigma=1, log=FALSE)

pgenlogis3(x, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
vargenlogis3(p, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esgenlogis3(p, alpha=1, mu=0, sigma=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgenlogis3(x)
pgenlogis3(x)
vargenlogis3(x)
esgenlogis3(x)
genlogis4 67
genlogis4 Generalized logistic IV distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized logistic IV distribution
given by
−α−a
1 x−µ x−µ
f (x) = exp −α 1 + exp − ,
σB(α, a) σ σ
F (x) = I 1
x−µ
(α, a),
1+exp(−
σ )
1 − Ip−1 (α, a)
VaRp (X) = µ − σ log −1 ,
Z p Ip (α,−1 a)
σ 1 − Iv (α, a)
ESp (X) = µ − log dv
p 0 Iv−1 (α, a)
α > 0, the first shape parameter, and a > 0, the second shape parameter.
Usage
dgenlogis4(x, a=1, alpha=1, mu=0, sigma=1, log=FALSE)
pgenlogis4(x, a=1, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
vargenlogis4(p, a=1, alpha=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esgenlogis4(p, a=1, alpha=1, mu=0, sigma=1)
Arguments
to be computed
alpha the value of the first shape parameter, must be positive, the default is 1
a the value of the second shape parameter, must be positive, the default is 1
Value
68 genpareto
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgenlogis4(x)
pgenlogis4(x)
vargenlogis4(x)
esgenlogis4(x)
genpareto Generalized Pareto distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized Pareto distribution
due to Pickands (1975) given by
1 cx 1/c−1
f (x) = 1− ,
k k
cx 1/c
F (x) = 1 − 1 − ,
k
k
VaRp (X) = [1 − (1 − p)c ] ,
c
k k(1 − p)c+1 k
ESp (X) = + −
c pc(c + 1) pc(c + 1)
for x < k/c if c > 0, x > k/c if c < 0, x > 0 if c = 0, 0 0, the scale parameter and
−∞ < c < ∞, the shape parameter.
Usage
dgenpareto(x, k=1, c=1, log=FALSE)
pgenpareto(x, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
vargenpareto(p, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
esgenpareto(p, k=1, c=1)
Arguments
to be computed
genpowerweibull 69
k the value of the scale parameter, must be positive, the default is 1

c the value of the shape parameter, can take any real value, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgenpareto(x)
pgenpareto(x)
vargenpareto(x)
esgenpareto(x)
genpowerweibull Generalized power Weibull distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized power Weibull dis-
tribution due to Nikulin and Haghighi (2006) given by
n o
θ−1 θ
f (x) = aθxa−1 [1 + xa ] exp 1 − [1 + xa ] ,
n o
θ
F (x) = 1 − exp 1 − [1 + xa ] ,
n o1/a
1/θ
VaRp (X) = [1 − log(1 − p)] − 1 ,
1 pn
Z o1/a
1/θ
ESp (X) = [1 − log(1 − v)] − 1 dv
p 0
for x > 0, 0 0, the first shape parameter, and θ > 0, the second shape parameter.
70 genpowerweibull
Usage
dgenpowerweibull(x, a=1, theta=1, log=FALSE)

pgenpowerweibull(x, a=1, theta=1, log.p=FALSE, lower.tail=TRUE)
vargenpowerweibull(p, a=1, theta=1, log.p=FALSE, lower.tail=TRUE)
esgenpowerweibull(p, a=1, theta=1)
Arguments

to be computed
theta the value of the second shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgenpowerweibull(x)
pgenpowerweibull(x)
vargenpowerweibull(x)
esgenpowerweibull(x)
genunif 71
genunif Generalized uniform distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized uniform distribution
given by
h−1
f (x) = hkc(x − a)c−1 [1 − k(x − a)c ] ,
c h
F (x) = 1 − [1 − k(x − a) ] ,
h i1/c
VaRp (X) = a + k −1/c 1 − (1 − p)1/h ,
−1/c Z p h 1/c
k i
ESp (X) = a + 1 − (1 − v)1/h dv
p 0
for a ≤ x ≤ a + k −1/c , 0 0, the first shape
parameter, k > 0, the scale parameter, and h > 0, the second shape parameter.
Usage
dgenunif(x, a=0, c=1, h=1, k=1, log=FALSE)
pgenunif(x, a=0, c=1, h=1, k=1, log.p=FALSE, lower.tail=TRUE)
vargenunif(p, a=0, c=1, h=1, k=1, log.p=FALSE, lower.tail=TRUE)
esgenunif(p, a=0, c=1, h=1, k=1)
Arguments
to be computed
a the value of the location parameter, can take any real value, the default is zero
k the value of the scale parameter, must be positive, the default is 1
c the value of the first scale parameter, must be positive, the default is 1
h the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
72 gev
References
submitted
Examples
dgenunif(x)
pgenunif(x)
vargenunif(x)
esgenunif(x)
gev Generalized extreme value distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the generalized extreme value distri-
bution due to Fisher and Tippett (1928) given by
−1/ξ−1 ( −1/ξ )
1 x−µ x−µ
f (x) = 1+ξ exp − 1 + ξ ,
σ σ σ
( −1/ξ )
x−µ
F (x) = exp − 1 + ξ ,
σ
σ σ
VaRp (X) = µ − + (− log p)−ξ ,
ξ ξZ p
σ σ
ESp (X) = µ − + (− log v)−ξ dv
ξ pξ 0
for x ≥ µ − σ/ξ if ξ > 0, x ≤ µ − σ/ξ if ξ < 0, −∞ < x < ∞ if ξ = 0, 0 0, the scale parameter, and −∞ < ξ < ∞, the shape
parameter.
Usage
dgev(x, mu=0, sigma=1, xi=1, log=FALSE)
pgev(x, mu=0, sigma=1, xi=1, log.p=FALSE, lower.tail=TRUE)
vargev(p, mu=0, sigma=1, xi=1, log.p=FALSE, lower.tail=TRUE)
esgev(p, mu=0, sigma=1, xi=1)
Arguments
to be computed
gompertz 73
xi the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgev(x)
pgev(x)
vargev(x)
esgev(x)
gompertz Gompertz distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Gompertz distribution due to
Gompertz (1825) given by
f (x) = bη exp(bx) exp [η − η exp(bx)] ,

F (x) = 1 − exp [η − η exp(bx)] ,
1 1
VaRp (X) = log 1 − log(1 − p) ,
bZ η
p
1 1
ESp (X) = log 1 − log(1 − v) dv
pb 0 η
for x > 0, 0 0, the first scale parameter and η > 0, the second scale parameter.
74 gompertz
Usage
dgompertz(x, b=1, eta=1, log=FALSE)

pgompertz(x, b=1, eta=1, log.p=FALSE, lower.tail=TRUE)
vargompertz(p, b=1, eta=1, log.p=FALSE, lower.tail=TRUE)
esgompertz(p, b=1, eta=1)
Arguments

to be computed
eta the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgompertz(x)
pgompertz(x)
vargompertz(x)
esgompertz(x)
gumbel 75
gumbel Gumbel distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Gumbel distribution given by due
to Gumbel (1954) given by

1 µ−x µ−x
f (x) = exp exp − exp ,
σ σ σ
µ−x
F (x) = exp − exp ,
σ
VaRp (X) = µ − σZlog(− log p),
σ p
ESp (X) = µ − log(− log v)dv
p 0
parameter.
Usage
dgumbel(x, mu=0, sigma=1, log=FALSE)
pgumbel(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
vargumbel(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esgumbel(p, mu=0, sigma=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
76 gumbel2
References
submitted
Examples
dgumbel(x)
pgumbel(x)
vargumbel(x)
esgumbel(x)
gumbel2 Gumbel II distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Gumbel II distribution
f (x) = abx−a−1 exp −bx −a

,
F (x) = 1 − exp −bx−a ,

−1/a
VaRp (X) = b1/a [− log(1 − p)] ,
1/a Z p
b −1/a
ESp (X) = [− log(1 − v)] dv
p 0
for x > 0, 0 0, the shape parameter, and b > 0, the scale parameter.
Usage
dgumbel2(x, a=1, b=1, log=FALSE)
pgumbel2(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
vargumbel2(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esgumbel2(p, a=1, b=1)
Arguments
to be computed
halfcauchy 77
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dgumbel2(x)
pgumbel2(x)
vargumbel2(x)
#esgumbel2(x)
halfcauchy Half Cauchy distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the half Cauchy distribution given by
2 σ
f (x) = ,
π x2 + σ 2
2 x
F (x) = arctan ,
π σπp
VaRp (X) = σ tan ,
Z p 2
σ πv
ESp (X) = tan dv
p 0 2
for x > 0, 0 0, the scale parameter.
Usage
dhalfcauchy(x, sigma=1, log=FALSE)

phalfcauchy(x, sigma=1, log.p=FALSE, lower.tail=TRUE)
varhalfcauchy(p, sigma=1, log.p=FALSE, lower.tail=TRUE)
eshalfcauchy(p, sigma=1)
78 halflogis
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dhalfcauchy(x)
phalfcauchy(x)
varhalfcauchy(x)
eshalfcauchy(x)
halflogis Half logistic distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the half logistic distribution given by
2λ exp (−λx)
f (x) = 2,
[1 + exp (−λx)]
1 − exp (−λx)
F (x) = ,
1 + exp (−λx)
1 1−p
λ 1+p
1 1−p 1
log 1 − p2

ESp (X) = − log +
λ 1 + p λp
for x > 0, 0 0, the scale parameter.
halflogis 79
Usage
dhalflogis(x, lambda=1, log=FALSE)

phalflogis(x, lambda=1, log.p=FALSE, lower.tail=TRUE)
varhalflogis(p, lambda=1, log.p=FALSE, lower.tail=TRUE)
eshalflogis(p, lambda=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dhalflogis(x)
phalflogis(x)
varhalflogis(x)
eshalflogis(x)
80 halfnorm
halfnorm Half normal distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for Half normal distribution given by
2 x
f (x) = φ ,
σ x σ
F (x) = 2Φ − 1,
σ
−1 1+p
VaRp (X) = σΦ ,
Z p 2
σ −1 1+v
ESp (X) = Φ dv
p 0 2
for x > 0, 0 0, the scale parameter.
Usage
dhalfnorm(x, sigma=1, log=FALSE)
phalfnorm(x, sigma=1, log.p=FALSE, lower.tail=TRUE)
varhalfnorm(p, sigma=1, log.p=FALSE, lower.tail=TRUE)
eshalfnorm(p, sigma=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
halfT 81
Examples
dhalfnorm(x)
phalfnorm(x)
varhalfnorm(x)
eshalfnorm(x)
halfT Half Student’s t distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the half Student’s t distribution given
by
− n+1
2Γ n+1

2 x2 2
f (x) = √ n 1+ ,
nπΓ 2 n
1 n
F (x) = I x2 , ,
s 2 2
x2 +n
nIp−1 12 , n2

VaRp (X) = ,
1−s Ip−1 12 , n2
√ Z p
Iv−1 12 , n2

n
ESp (X) = dv
p 0 1 − Iv−1 12 , n2
for −∞ < x < ∞, 0 0, the degree of freedom parameter.
Usage
dhalfT(x, n=1, log=FALSE)
phalfT(x, n=1, log.p=FALSE, lower.tail=TRUE)
varhalfT(p, n=1, log.p=FALSE, lower.tail=TRUE)
eshalfT(p, n=1)
Arguments
to be computed
n the value of the degree of freedom parameter, must be positive, the default is 1
Value
82 HBlaplace
Author(s)
Saralees Nadarajah
References
submitted
Examples
dhalfT(x)
phalfT(x)
varhalfT(x)
eshalfT(x)
HBlaplace Holla-Bhattacharya Laplace distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Holla-Bhattacharya Laplace
distribution due to Holla and Bhattacharya (1968) given by

 aφ exp {φ (x − θ)} , if x ≤ θ,
f (x) =
 (1 − a) φ exp {φ (θ − x)} , if x > θ,

 a exp (φx − θφ) , if x ≤ θ,
F (x) =
1 − (1 − a) exp (θφ − φx) , if x > θ,

 1 p
 θ + log , if p ≤ a,
φ a



VaRp (X) =

 1 1−p
 θ − log
 , if p > a,
φ 1−a
 1 1 p
 θ − + log , if p ≤ a,
φ φ a



ESp (X) =

 1 p − 2a − (1 − a) log a 1 − p 1−p

 θ(1 + p − a) + + log , if p > a
p φ φ 1−a
for −∞ < x < ∞, 0 0, the second scale parameter.
Usage
dHBlaplace(x, a=0.5, theta=0, phi=1, log=FALSE)
pHBlaplace(x, a=0.5, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE)
varHBlaplace(p, a=0.5, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE)
esHBlaplace(p, a=0.5, theta=0, phi=1)
HL 83
Arguments
to be computed
0.5
phi the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dHBlaplace(x)
pHBlaplace(x)
varHBlaplace(x)
esHBlaplace(x)
HL Hankin-Lee distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Hankin-Lee distribution due to
Hankin and Lee (2006) given by
cpa
VaRp (X) = ,
(1 − p)b
c
ESp (X) = Bp (a + 1, 1 − b)
p
for 0 0, the scale parameter, a > 0, the first shape parameter, and b > 0, the second
shape parameter.
84 Hlogis
Usage
varHL(p, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)

esHL(p, a=1, b=1, c=1)
Arguments
to be computed
c the value of the scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
varHL(x)
esHL(x)
Hlogis Hosking logistic distribution

Hlogis 85
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Hosking logistic distribution due
to Hosking (1989, 1990) given by
(1 − kx)1/k−1
f (x) = 2 ,
1 + (1 − kx)1/k
1
F (x) = ,
− kx)1/k
1 + (1 "
k #
1 1−p
VaRp (X) = 1− ,
k p
1 1
ESp (X) = − Bp (1 − k, 1 + k)
k kp
for x < 1/k if k > 0, x > 1/k if k < 0, −∞ < x < ∞ if k = 0, and −∞ < k < ∞, the shape
parameter.
Usage
dHlogis(x, k=1, log=FALSE)
pHlogis(x, k=1, log.p=FALSE, lower.tail=TRUE)
varHlogis(p, k=1, log.p=FALSE, lower.tail=TRUE)
esHlogis(p, k=1)
Arguments
to be computed
k the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
86 invbeta
Examples
dHlogis(x)
pHlogis(x)
varHlogis(x)
esHlogis(x)
invbeta Inverse beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the inverse beta distribution given by
xa−1
f (x) = ,
B(a, b)(1 + x)a+b
F (x) = I 1+x
x (a, b),
Ip−1 (a, b)
VaRp (X) = ,
1Z − Ip−1 (a, b)
p
1 Iv−1 (a, b)
ESp (X) = dv
p 0 1 − Iv−1 (a, b)
for x > 0, 0 0, the first shape parameter, and b > 0, the second shape parameter.
Usage
dinvbeta(x, a=1, b=1, log=FALSE)
pinvbeta(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varinvbeta(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esinvbeta(p, a=1, b=1)
Arguments
to be computed
Value
invexpexp 87
Author(s)
Saralees Nadarajah
References
submitted
Examples
dinvbeta(x)
pinvbeta(x)
varinvbeta(x)
esinvbeta(x)
invexpexp Inverse exponentiated exponential distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the inverse exponentiated exponential
distribution due to Ghitany et al. (2013) given by
a−1
−2 λ λ
f (x) = aλx exp − 1 − exp − ,
x a x
λ
F (x) = 1 − 1 − exp − ,
x
n h io−1
VaRp (X) = λ − log 1 − (1 − p)1/a ,
λ pn io−1
Z h
ESp (X) = − log 1 − (1 − v)1/a dv
p 0
Usage
dinvexpexp(x, lambda=1, a=1, log=FALSE)
pinvexpexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
varinvexpexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
esinvexpexp(p, lambda=1, a=1)
Arguments
to be computed
88 invgamma

Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dinvexpexp(x)
pinvexpexp(x)
varinvexpexp(x)
esinvexpexp(x)
invgamma Inverse gamma distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the inverse gamma distribution given
by
ba exp(−b/x)
f (x) = ,
xa+1 Γ(a)
F (x) = Q(a, b/x),
−1
VaRp (X) = bZ Q−1 (a, p)

,
b p −1 −1
ESp (X) = Q (a, v) dv
p 0
for x > 0, 0 0, the shape parameter, and b > 0, the scale parameter.
Usage
dinvgamma(x, a=1, b=1, log=FALSE)
pinvgamma(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varinvgamma(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esinvgamma(p, a=1, b=1)
kum 89
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dinvgamma(x)
pinvgamma(x)
varinvgamma(x)
esinvgamma(x)
kum Kumaraswamy distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy distribution due
to Kumaraswamy (1980) given by
b−1
f (x) = abxa−1 (1 − xa ) ,
b
F (x) = 1 − (1 − xa ) ,
h i1/a
VaRp (X) = 1 − (1 − p)1/b ,
1 ph
Z i1/a
ESp (X) = 1 − (1 − v)1/b dv
p 0
for 0 < x < 1, 0 0, the first shape parameter, and b > 0, the second shape parameter.
90 kum
Usage
dkum(x, a=1, b=1, log=FALSE)

pkum(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varkum(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
eskum(p, a=1, b=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkum(x)
pkum(x)
varkum(x)
eskum(x)
kumburr7 91
kumburr7 Kumaraswamy Burr XII distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distri-
bution due to Parana\’iba et al. (2013) given by
abkcxc−1 h ia−1 n h
−k −k
ia ob−1
f (x) = k+1
1 − (1 + xc ) 1 − 1 − (1 + xc ) ,
(1 + xc )
n h ia ob
−k
F (x) = 1 − 1 − 1 − (1 + xc ) ,
" #1/c
h i1/a −1/k
1/b
VaRp (X) = 1 − 1 − (1 − p) −1 ,
" #1/c
1
Z p h i1/a −1/k
ESp (X) = 1 − 1 − (1 − v)1/b −1 dv
p 0
for x > 0, 0 0, the first shape parameter, b > 0, the second shape parameter, c > 0,
the third shape parameter, and k > 0, the fourth shape parameter.
Usage
dkumburr7(x, a=1, b=1, k=1, c=1, log=FALSE)
pkumburr7(x, a=1, b=1, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
varkumburr7(p, a=1, b=1, k=1, c=1, log.p=FALSE, lower.tail=TRUE)
eskumburr7(p, a=1, b=1, k=1, c=1)
Arguments
to be computed
k the value of the fourth shape parameter, must be positive, the default is 1
Value
92 kumexp
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumburr7(x)
pkumburr7(x)
varkumburr7(x)
eskumburr7(x)
kumexp Kumaraswamy exponential distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy exponential dis-
tribution due to Cordeiro and de Castro (2011) given by
a−1 a b−1
f (x) = abλ exp(−λx) [1 − exp(−λx)] {1 − [1 − exp(−λx)] } ,
a b
F (x) = 1 − {1 − [1 − exp(−λx)] } ,
1 h i1/a
VaRp (X) = − log 1 − 1 − (1 − p)1/b ,
λZ
p
1/a

1 h i
ESp (X) = − log 1 − 1 − (1 − v)1/b dv
pλ 0
for x > 0, 0 0, the first shape parameter, b > 0, the second shape parameter, and
λ > 0, the scale parameter.
Usage
dkumexp(x, lambda=1, a=1, b=1, log=FALSE)
pkumexp(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varkumexp(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
eskumexp(p, lambda=1, a=1, b=1)
Arguments
to be computed
kumgamma 93
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumexp(x)
pkumexp(x)
varkumexp(x)
eskumexp(x)
kumgamma Kumaraswamy gamma distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy gamma distribu-
tion due to de Pascoa et al. (2011) given by
d−1
γ c−1 (a, bx) γ c (a, bx)

a a−1
f (x) = cdb x exp(−bx) 1− ,
Γc (a) Γc (a)
d
γ c (a, bx)

F (x) = 1 − 1 − ,
Γc (a)

1 h i1/c
VaRp (X) = Q−1 a, 1 − 1 − (1 − p)1/d ,
bZ
p i1/c
1 h
ESp (X) = Q−1 a, 1 − 1 − (1 − v)1/d dv
bp 0
for x > 0, 0 0, the first shape parameter, b > 0, the scale parameter, c > 0, the
94 kumgamma
Usage
dkumgamma(x, a=1, b=1, c=1, d=1, log=FALSE)

pkumgamma(x, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
varkumgamma(p, a=1, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
eskumgamma(p, a=1, b=1, c=1, d=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumgamma(x)
pkumgamma(x)
varkumgamma(x)
eskumgamma(x)
kumgumbel 95
kumgumbel Kumaraswamy Gumbel distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Gumbel distribu-
tion due to Cordeiro et al. (2012a) given by
b−1
ab µ−x µ−x µ−x
f (x) = exp exp −a exp 1 − exp −a exp ,
σ σ σ σ
b
µ−x
F (x) = 1 − 1 − exp −a exp ,
σ
h i1/a
VaRp (X) = µ − σ log − log 1 − (1 − p)1/b ,
Z p i1/a
σ h
ESp (X) = µ − log − log 1 − (1 − v)1/b dv
p 0
Usage
dkumgumbel(x, a=1, b=1, mu=0, sigma=1, log=FALSE)
pkumgumbel(x, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varkumgumbel(p, a=1, b=1, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
eskumgumbel(p, a=1, b=1, mu=0, sigma=1)
Arguments
to be computed
Value
96 kumhalfnorm
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumgumbel(x)
pkumgumbel(x)
varkumgumbel(x)
eskumgumbel(x)
kumhalfnorm Kumaraswamy half normal distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy half normal
distribution due to Cordeiro et al. (2012c) given by
2ab x h x ia−1 n h x ia ob−1

f (x) = φ 2Φ −1 1 − 2Φ −1 ,
σ n σ h σ b
σ
x i a o
F (x) = 1 − 1 − 2Φ −1 ,
σ h i1/a
−1 1 1 1/b
VaRp (X) = σΦ + 1 − (1 − p) ,
Z p 2 2
σ 1 1 h i1/a
−1 1/b
ESp (X) = Φ + 1 − (1 − v) dv
p 0 2 2
for x > 0, 0 0, the scale parameter, a > 0, the first shape parameter, and b > 0, the
Usage
dkumhalfnorm(x, sigma=1, a=1, b=1, log=FALSE)

pkumhalfnorm(x, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varkumhalfnorm(p, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
eskumhalfnorm(p, sigma=1, a=1, b=1)
kumloglogis 97
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumhalfnorm(x)
pkumhalfnorm(x)
varkumhalfnorm(x)
eskumhalfnorm(x)
kumloglogis Kumaraswamy log-logistic distribution

98 kumloglogis
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy log-logistic dis-
tribution due to de Santana et al. (2012) given by
b−1
abβαβ xaβ−1 xaβ

f (x) = a+1 1 − a ,
(αβ + xβ ) (αβ + xβ )
b
xaβ

F (x) = 1 − β a ,
(α + xβ )
h i1/a −1/β
VaRp (X) = α 1 − (1 − p)1/b −1 ,
Z p h i1/a −1/β
α
ESp (X) = 1 − (1 − v)1/b −1 dv
p 0
for x > 0, 0 0, the scale parameter, β > 0, the first shape parameter, a > 0, the
second shape parameter, and b > 0, the third shape parameter.
Usage
dkumloglogis(x, a=1, b=1, alpha=1, beta=1, log=FALSE)
pkumloglogis(x, a=1, b=1, alpha=1, beta=1, log.p=FALSE, lower.tail=TRUE)
varkumloglogis(p, a=1, b=1, alpha=1, beta=1, log.p=FALSE, lower.tail=TRUE)
eskumloglogis(p, a=1, b=1, alpha=1, beta=1)
Arguments
to be computed
alpha the value of the scale parameter, must be positive, the default is 1
beta the value of the first shape parameter, must be positive, the default is 1
a the value of the second shape parameter, must be positive, the default is 1
b the value of the third shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
kumnormal 99
References
submitted
Examples
dkumloglogis(x)
pkumloglogis(x)
varkumloglogis(x)
eskumloglogis(x)
kumnormal Kumaraswamy normal distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for Kumaraswamy normal distribution
due to Cordeiro and de Castro (2011) given by

b−1
ab x−µ x−µ x−µ
f (x) = φ Φa−1 1 − Φa ,
σ σ σ σ
b
x−µ
F (x) = 1 − 1 − Φa ,
hσ i1/a
−1 1/b
VaRp (X) = µ + σΦ 1 − (1 − p) ,
Z p h
1/a

σ −1 1/b
i
ESp (X) = µ + Φ 1 − (1 − v) dv
p 0
Usage
dkumnormal(x, mu=0, sigma=1, a=1, b=1, log=FALSE)
pkumnormal(x, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varkumnormal(p, mu=0, sigma=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
eskumnormal(p, mu=0, sigma=1, a=1, b=1)
Arguments
to be computed
100 kumpareto
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumnormal(x)
pkumnormal(x)
varkumnormal(x)
eskumnormal(x)
kumpareto Kumaraswamy Pareto distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Pareto distribution
due to Pereira et al. (2013) given by
c a−1 c a b−1
K K
f (x) = abcK c x−c−1 1 − 1− 1− ,
x x
c a b
K
F (x) = 1 − 1 − 1 − ,
x
h i1/a −1/c
1/b
VaRp (X) = K 1 − 1 − (1 − p) ,
K
Z p h i1/a −1/c

ESp (X) = 1 − 1 − (1 − v)1/b dv
p 0
for x ≥ K, 0 0, the scale parameter, c > 0, the first shape parameter, a > 0, the
second shape parameter, and b > 0, the third shape parameter.
kumpareto 101
Usage
dkumpareto(x, K=1, a=1, b=1, c=1, log=FALSE)

pkumpareto(x, K=1, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
varkumpareto(p, K=1, a=1, b=1, c=1, log.p=FALSE, lower.tail=TRUE)
eskumpareto(p, K=1, a=1, b=1, c=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumpareto(x)
pkumpareto(x)
varkumpareto(x)
eskumpareto(x)
102 kumweibull
kumweibull Kumaraswamy Weibull distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Weibull distribu-
tion due to Cordeiro et al. (2010) given by
abαxα−1 h x α i n h x α ioa−1 n h x α ioa b−1

f (x) = exp − 1 − exp − 1 − 1 − exp − ,
σα σ σ σ
n h x α ioa b
F (x) = 1 − 1 − 1 − exp − ,
σ
h i1/a 1/α
1/b
VaRp (X) = σ − log 1 − 1 − (1 − p) ,
Z p i1/a 1/α
σ h
ESp (X) = − log 1 − 1 − (1 − v)1/b dv
p 0
the third shape parameter, and σ > 0, the scale parameter.
Usage
dkumweibull(x, a=1, b=1, alpha=1, sigma=1, log=FALSE)
pkumweibull(x, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
varkumweibull(p, a=1, b=1, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
eskumweibull(p, a=1, b=1, alpha=1, sigma=1)
Arguments
to be computed
Value
laplace 103
Author(s)
Saralees Nadarajah
References
submitted
Examples
dkumweibull(x)
pkumweibull(x)
varkumweibull(x)
eskumweibull(x)
laplace Laplace distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Laplace distribution due to due
to Laplace (1774) given by

1 |x−µ|
f (x) = exp − ,
2σ
 σ
1 x−µ
exp , if x < µ,


 2 σ


F (x) =

 1 x−µ
 1 − exp − , if x ≥ µ,


 2 σ
 µ + σ log(2p), if p < 1/2,
VaRp (X) =
µ − σ log [2(1 − p)] , if p ≥ 1/2,

µ + σ [log(2p) − 1] , if p < 1/2,



ESp (X) =
 µ + σ − σ + σ 1 − p log(1 − p) + σ 1 − p log 2, if p ≥ 1/2

p p p
parameter.
Usage
dlaplace(x, mu=0, sigma=1, log=FALSE)
plaplace(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varlaplace(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
eslaplace(p, mu=0, sigma=1)
104 lfr
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dlaplace(x)
plaplace(x)
varlaplace(x)
eslaplace(x)
lfr Linear failure rate distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the linear failure rate distribution due
to Bain (1974) given by
f (x) = (a + bx) exp −ax − bx2 /2 ,

2
F (x) = 1 − exp −ax p − bx /2 ,
2
−a + a − 2b log(1 − p)
VaRp (X) = ,
Z pp b
a 1
ESp (X) = − + a2 − 2b log(1 − v)dv
b bp 0
for x > 0, 0 0, the first scale parameter, and b > 0, the second scale parameter.
lfr 105
Usage
dlfr(x, a=1, b=1, log=FALSE)

plfr(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varlfr(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
eslfr(p, a=1, b=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dlfr(x)
plfr(x)
varlfr(x)
eslfr(x)
106 LNbeta
LNbeta Libby-Novick beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Libby-Novick beta distribution
due to Libby and Novick (1982) given by
λa xa−1 (1 − x)b−1
f (x) = a+b
,
B(a, b) [1 − (1 − λ)x]
F (x) = I λx (a, b),
1+(λ−1)x
Ip−1 (a, b)
VaRp (X) = ,
λZ − (λ − 1)Ip−1 (a, b)
1 p Iv−1 (a, b)
ESp (X) = dv
p 0 λ − (λ − 1)Iv−1 (a, b)
for 0 < x < 1, 0 0, the scale parameter, a > 0, the first shape parameter, and b > 0,
the second shape parameter.
Usage
dLNbeta(x, lambda=1, a=1, b=1, log=FALSE)
pLNbeta(x, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varLNbeta(p, lambda=1, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esLNbeta(p, lambda=1, a=1, b=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
logbeta 107
References
submitted
Examples
dLNbeta(x)
pLNbeta(x)
varLNbeta(x)
esLNbeta(x)
logbeta Log beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the log beta distribution given by
(log d − log c)1−a−b

f (x) = (log x − log c)a−1 (log d − log x)b−1 ,
xB(a, b)
F (x) = I log x−log c (a, b),
log d−log c
Ip−1 (a,b)
d
VaRp (X) = c ,
c
Z p Iv−1 (a,b)
c d
ESp (X) = dv
p 0 c
for 0 < c ≤ x ≤ d, 0 0, the first shape parameter, b > 0, the second shape parameter,
c > 0, the first location parameter, and d > 0, the second location parameter.
Usage
dlogbeta(x, a=1, b=1, c=1, d=2, log=FALSE)
plogbeta(x, a=1, b=1, c=1, d=2, log.p=FALSE, lower.tail=TRUE)
varlogbeta(p, a=1, b=1, c=1, d=2, log.p=FALSE, lower.tail=TRUE)
eslogbeta(p, a=1, b=1, c=1, d=2)
Arguments
to be computed
c the value of the first location parameter, must be positive, the default is 1
d the value of the second location parameter, must be positive and greater than c,
the default is 2
108 logcauchy
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dlogbeta(x)
plogbeta(x)
varlogbeta(x)
eslogbeta(x)
logcauchy Log Cauchy distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the log Cauchy distribution given by
1 σ
f (x) = ,
− µ)2 + σ 2
xπ (log x
1 log x − µ
F (x) = arctan ,
π σ
VaRp (X) = exp [µ Z+ σ tan (πp)] ,
exp(µ) p
ESp (X) = exp [σ tan (πv)] dv
p 0
for x > 0, 0 0, the scale parameter.
Usage
dlogcauchy(x, mu=0, sigma=1, log=FALSE)
plogcauchy(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varlogcauchy(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
eslogcauchy(p, mu=0, sigma=1)
loggamma 109
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dlogcauchy(x)
plogcauchy(x)
varlogcauchy(x)
#eslogcauchy(x)
loggamma Log gamma distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the log gamma distribution due to
Consul and Jain (1971) given by
ar xa−1 (− log x)r−1
f (x) = ,
Γ(r)
F (x) = Q(r, −a log
x),
1
VaRp (X) = exp − Q−1 (r, p) ,
a
1 p
Z
1
ESp (X) = exp − Q−1 (r, v) dv
p 0 a
for x > 0, 0 0, the first shape parameter, and r > 0, the second shape parameter.
110 loggamma
Usage
dloggamma(x, a=1, r=1, log=FALSE)

ploggamma(x, a=1, r=1, log.p=FALSE, lower.tail=TRUE)
varloggamma(p, a=1, r=1, log.p=FALSE, lower.tail=TRUE)
esloggamma(p, a=1, r=1)
Arguments

to be computed
r the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dloggamma(x)
ploggamma(x)
varloggamma(x)
esloggamma(x)
logisexp 111
logisexp Logistic exponential distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the logistic exponential distribution
due to Lan and Leemis (2008) given by
a−1
aλ exp(λx) [exp(λx) − 1]
f (x) = a 2
,
{1 + [exp(λx) − 1] }
a
[exp(λx) − 1]
F (x) = a,
" −
1 + [exp(λx) 1]
1/a #
1 p
VaRp (X) = log 1 + ,
λ 1−p
Z p " 1/a #
1 v
ESp (X) = log 1 + dv
pλ 0 1−v
Usage
dlogisexp(x, lambda=1, a=1, log=FALSE)
plogisexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
varlogisexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
eslogisexp(p, lambda=1, a=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
112 logisrayleigh
References
submitted
Examples
dlogisexp(x)
plogisexp(x)
varlogisexp(x)
eslogisexp(x)
logisrayleigh Logistic Rayleigh distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the logistic Rayleigh distribution due
to Lan and Leemis (2008) given by
a−1 n a o−2
f (x) = aλx exp λx2 /2 exp λx2 /2 − 1 1 + exp λx2 /2 − 1

,
2
a
exp λx /2 − 1
F (x) = a,
1 + [exp v(λx2 /2) − 1]
r u " 1/a #
2u p
VaRp (X) = tlog 1 + ,
λ 1−p
√ Z p( " 1/a #)1/2
2 v
ESp (X) = √ log 1 + dv
p λ 0 1−v
for x > 0, 0 0, the shape parameter, and λ > 0, the scale parameter.
Usage
dlogisrayleigh(x, a=1, lambda=1, log=FALSE)
plogisrayleigh(x, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
varlogisrayleigh(p, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
eslogisrayleigh(p, a=1, lambda=1)
Arguments
to be computed
logistic 113

Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dlogisrayleigh(x)
plogisrayleigh(x)
varlogisrayleigh(x)
eslogisrayleigh(x)
logistic Logistic distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the logistic distribution given by
−2
1 x−µ x−µ
f (x) = exp − 1 + exp − ,
σ σ σ
1
F (x) = ,
1 + exp − x−µσ
VaRp (X) = µ + σ log [p(1 − p)] ,
1−p
ESp (X) = µ − 2σ + σ log p − σ log(1 − p)
p
parameter.
Usage
dlogistic(x, mu=0, sigma=1, log=FALSE)
plogistic(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varlogistic(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
eslogistic(p, mu=0, sigma=1)
114 loglaplace
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dlogistic(x)
plogistic(x)
varlogistic(x)
eslogistic(x)
loglaplace Log Laplace distribution

loglaplace 115
Description
Computes the pdf, cdf, value at risk and expected shortfall for the log Laplace distribution given by

b−1
 abx

, if x ≤ δ,
 δ b (a + b)


f (x) =

 abδ a
, if x > δ,


 a+1
 x (a + b)
axb
, if x ≤ δ,


b

 δ (a + b)

F (x) =

 bδ a
 1− a , if x > δ,


 x (a + b)
1/b
 a+b a
δ p , if p ≤ a+b ,


a



VaRp (X) =
 −1/a

 a+b a
 δ (1 − p) , if p > a+b ,


 a
1/b
 δb a+b a

 p , if p ≤ a+b ,
b + 1 a







ESp (X) = aδ a1/a b1−1/a δ
+
p(1 + 1/b)(a + b) p(a + b)(1 − 1/a)




 1/a
δ(1 − p) a

 a
 − , if p > a+b


p(1 − 1/a) (a + b)(1 − p)
for −∞ < x < ∞, 0 0, the scale parameter, a > 0, the first shape parameter, and
b > 0, the second shape parameter.
Usage
dloglaplace(x, a=1, b=1, delta=0, log=FALSE)
ploglaplace(x, a=1, b=1, delta=0, log.p=FALSE, lower.tail=TRUE)
varloglaplace(p, a=1, b=1, delta=0, log.p=FALSE, lower.tail=TRUE)
esloglaplace(p, a=1, b=1, delta=0)
Arguments
to be computed
delta the value of the scale parameter, must be positive, the default is 1
116 loglog
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dloglaplace(x)
ploglaplace(x)
varloglaplace(x)
esloglaplace(x)
loglog Loglog distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Loglog distribution due to Pham
(2002) given by
a
h a
i
f (x) = a log(λ)xa−1 λx exp 1 − λx ,
h a
i
F (x) = 1 − exp 1 − λx ,
1/a
log [1 − log(1 − p)]
VaRp (X) = ,
log
Z λp
1 1/a
ESp (X) = {log [1 − log(1 − v)]} dv
p(log λ)1/a 0
Usage
dloglog(x, a=1, lambda=2, log=FALSE)
ploglog(x, a=1, lambda=2, log.p=FALSE, lower.tail=TRUE)
varloglog(p, a=1, lambda=2, log.p=FALSE, lower.tail=TRUE)
esloglog(p, a=1, lambda=2)
loglogis 117
Arguments
to be computed
lambda the value of the scale parameter, must be greater than 1, the default is 2
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dloglog(x)
ploglog(x)
varloglog(x)
esloglog(x)
loglogis Log-logistic distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the log-logistic distribution given by
bab xb−1
f (x) = 2,
(ab + xb )
xb
F (x) = b b
,
a + x 1/b
p
VaRp (X) = a ,
1 −
p
a 1 1
ESp (X) = Bp 1 + , 1 −
p b b
118 loglogis
for x > 0, R0 0, the scale parameter, and b > 0, the shape parameter, where
x
Bx (a, b) = 0 ta−1 (1 − t)b−1 dt denotes the incomplete beta function.
Usage
dloglogis(x, a=1, b=1, log=FALSE)

ploglogis(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varloglogis(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esloglogis(p, a=1, b=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dloglogis(x)
ploglogis(x)
varloglogis(x)
esloglogis(x)
lognorm 119
lognorm Lognormal distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the lognormal distribution given by

1 log x − µ
f (x) = φ ,
σx σ
log x − µ
F (x) = Φ ,
σ
VaRp (X) = exp µZ+ σΦ−1 (p) ,

p
exp(µ)
exp σΦ−1 (v) dv

ESp (X) =
p 0
for x > 0, 0 0, the scale parameter.
Usage
dlognorm(x, mu=0, sigma=1, log=FALSE)
plognorm(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varlognorm(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
eslognorm(p, mu=0, sigma=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
120 lomax
References
submitted
Examples
dlognorm(x)
plognorm(x)
varlognorm(x)
eslognorm(x)
lomax Lomax distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Lomax distribution due to Lomax
(1954) given by
a x −a−1
f (x) = 1+ ,
λ λ −a
x
F (x) = 1 − 1 + ,
h λ i
−1/a
VaRp (X) = λ (1 − p) −1 ,
λ − λ(1 − p)1−1/a
ESp (X) = −λ +
p − p/a
Usage
dlomax(x, a=1, lambda=1, log=FALSE)
plomax(x, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
varlomax(p, a=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
eslomax(p, a=1, lambda=1)
Arguments
to be computed
Mlaplace 121
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dlomax(x)
plomax(x)
varlomax(x)
eslomax(x)
Mlaplace McGill Laplace distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the McGill Laplace distribution due
to McGill (1962) given by

1 x−θ
exp , if x ≤ θ,


 2ψ ψ


f (x) =

 1 θ−x
exp , if x > θ,


 2φ φ

1 x−θ
exp , if x ≤ θ,


 2 ψ


F (x) =

 1 θ−x
 1 − exp , if x > θ,


 2 φ
 θ + ψ log(2p), if p ≤ 1/2,
VaRp (X) =
θ − φ log (2(1 − p)) , if p > 1/2,

ψ + θ log(2p) − θp, if p ≤ 1/2,






ψ − φ − 2θ φ

ESp (X) = θ+φ+ + log 2 − φ log 2

 2p p

 φ
 + log(1 − p) − φ log(1 − p),
 if p > 1/2
p
122 Mlaplace
for −∞ < x < ∞, 0 0, the first scale
parameter, and ψ > 0, the second scale parameter.
Usage
dMlaplace(x, theta=0, phi=1, psi=1, log=FALSE)
pMlaplace(x, theta=0, phi=1, psi=1, log.p=FALSE, lower.tail=TRUE)
varMlaplace(p, theta=0, phi=1, psi=1, log.p=FALSE, lower.tail=TRUE)
esMlaplace(p, theta=0, phi=1, psi=1)
Arguments
to be computed
phi the value of the first scale parameter, must be positive, the default is 1
psi the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dMlaplace(x)
pMlaplace(x)
varMlaplace(x)
esMlaplace(x)
moexp 123
moexp Marshall-Olkin exponential distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Marshall-Olkin exponential
distribution due to Marshall and Olkin (1997) given by
λ exp(λx)
f (x) = 2,
[exp(λx) − 1 + a]
exp(λx) − 2 + a
F (x) = ,
exp(λx) − 1 + a
1 2 − a − (1 − a)p
VaRp (X) = log ,
λ 1−p
1 2−a 2 − a − (1 − a)p 1 − p
ESp (X) = log [2 − a − (1 − a)p] − log + log(1 − p)
λ λ(1 − a)p 2−a λp
for x > 0, 0 0, the first scale parameter and λ > 0, the second scale parameter.
Usage
dmoexp(x, lambda=1, a=1, log=FALSE)
pmoexp(x, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
varmoexp(p, lambda=1, a=1, log.p=FALSE, lower.tail=TRUE)
esmoexp(p, lambda=1, a=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
124 moweibull
References
submitted
Examples
dmoexp(x)
pmoexp(x)
varmoexp(x)
esmoexp(x)
moweibull Marshall-Olkin Weibull distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Marshall-Olkin Weibull distribu-
tion due to Marshall and Olkin (1997) given by
−2
f (x) = bλb xb−1 (λx)b exp (λx)b − 1 + a

exp ,
exp (λx)b − 2 + a

F (x) = ,
exp (λx)b − 1 + a

1/b
1 1
VaRp (X) = log +1−a ,
λ 1−p
Z p 1/b
1 1
ESp (X) = log +1−a dv
λp 0 1−v
for x > 0, 0 0, the first scale parameter, b > 0, the shape parameter, and λ > 0, the
second scale parameter.
Usage
dmoweibull(x, a=1, b=1, lambda=1, log=FALSE)
pmoweibull(x, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
varmoweibull(p, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
esmoweibull(p, a=1, b=1, lambda=1)
Arguments
to be computed
MRbeta 125

Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dmoweibull(x)
pmoweibull(x)
varmoweibull(x)
esmoweibull(x)
MRbeta McDonald-Richards beta distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the McDonald-Richards beta distri-
bution due to McDonald and Richards (1987a, 1987b) given by
b−1
xar−1 (bq r − xr )
f (x) = a+b−1
,
(bq r ) B(a, b)
F (x) = I xrr (a, b),
bq
1/r
VaRp (X) = b1/r q Ip−1 (a, b)

,
b1/r q p −1
Z
1/r
ESp (X) = Iv (a, b) dv
p 0
for 0 ≤ x ≤ b1/r q, 0 0, the scale parameter, a > 0, the first shape parameter, b > 0,
the second shape parameter, and r > 0, the third shape parameter.
126 MRbeta
Usage
dMRbeta(x, a=1, b=1, r=1, q=1, log=FALSE)

pMRbeta(x, a=1, b=1, r=1, q=1, log.p=FALSE, lower.tail=TRUE)
varMRbeta(p, a=1, b=1, r=1, q=1, log.p=FALSE, lower.tail=TRUE)
esMRbeta(p, a=1, b=1, r=1, q=1)
Arguments

to be computed
q the value of the scale parameter, must be positive, the default is 1
r the value of the third shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dMRbeta(x)
pMRbeta(x)
varMRbeta(x)
esMRbeta(x)
nakagami 127
nakagami Nakagami distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Nakagami distribution due to
Nakagami (1960) given by
2mm 2m−1 mx2

f (x) = m
x exp − ,
Γ(m)a a
mx2

F (x) = 1 − Q m, ,
r a
a p −1
VaRp (X) = Q (m, 1 − p),
m
√ Z pp
a
ESp (X) = √ Q−1 (m, 1 − v)dv
p m 0
for x > 0, 0 0, the scale parameter, and m > 0, the shape parameter.
Usage
dnakagami(x, m=1, a=1, log=FALSE)
pnakagami(x, m=1, a=1, log.p=FALSE, lower.tail=TRUE)
varnakagami(p, m=1, a=1, log.p=FALSE, lower.tail=TRUE)
esnakagami(p, m=1, a=1)
Arguments
to be computed
m the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
128 normal
References
submitted
Examples
dnakagami(x)
pnakagami(x)
varnakagami(x)
esnakagami(x)
normal Normal distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the normal distribution due to de
Moivre (1738) and Gauss (1809) given by

1 x−µ
f (x) = φ ,
σ σ
x−µ
F (x) = Φ ,
σ
−1
VaRp (X) = µ + σΦ (p),
σ p −1
Z
ESp (X) = µ + Φ (v)dv
p 0
parameter, where φ(·) denotes the pdf of a standard normal random variable, and Φ(·) denotes the
cdf of a standard normal random variable.
Usage
dnormal(x, mu=0, sigma=1, log=FALSE)
pnormal(x, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
varnormal(p, mu=0, sigma=1, log.p=FALSE, lower.tail=TRUE)
esnormal(p, mu=0, sigma=1)
Arguments
to be computed
pareto 129
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dnormal(x)
pnormal(x)
varnormal(x)
esnormal(x)
pareto Pareto distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Pareto distribution due to Pareto
(1964) given by
f (x) = cK c x−c−1
,c
K
F (x) = 1 − ,
x
VaRp (X) = K(1 − p)−1/c ,
Kc Kc
ESp (X) = (1 − p)1−1/c −
p(1 − c) p(1 − c)
for x ≥ K, 0 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)
130 paretostable
Arguments
to be computed
c the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dpareto(x)
ppareto(x)
varpareto(x)
espareto(x)
paretostable Pareto positive stable distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Pareto positive stable distribution
due to Sarabia and Prieto (2009) and Guillen et al. (2011) given by
νλ h x iν−1 n h x iν o
f (x) = log exp −λ log ,
x nσ h x iν o σ
F (x) = 1 − exp −λ log ,
( σ 1/ν )
1
VaRp (X) = σ exp − log(1 − p) ,
λ
( 1/ν )
σ p
Z
1
ESp (X) = exp − log(1 − v) dv
p 0 λ
paretostable 131
for x > 0, 0 0, the first scale parameter, σ > 0, the second scale parameter, and
ν > 0, the shape parameter.
Usage
dparetostable(x, lambda=1, nu=1, sigma=1, log=FALSE)
pparetostable(x, lambda=1, nu=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
varparetostable(p, lambda=1, nu=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
esparetostable(p, lambda=1, nu=1, sigma=1)
Arguments
to be computed
lambda the value of the first scale parameter, must be positive, the default is 1
sigma the value of the second scale parameter, must be positive, the default is 1
nu the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dparetostable(x)
pparetostable(x)
varparetostable(x)
esparetostable(x)
132 PCTAlaplace
PCTAlaplace Poiraud-Casanova-Thomas-Agnan Laplace distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Poiraud-Casanova-Thomas-
Agnan Laplace distribution due to Poiraud-Casanova and Thomas-Agnan (2000) given by

 a (1 − a) exp {(1 − a) (x − θ)} , if x ≤ θ,
f (x) =
 a (1 − a) exp {a (θ − x)} , if x > θ,

 a exp {(1 − a) (x − θ)} , if x ≤ θ,
F (x) =
1 − (1 − a) exp {a (θ − x)} , if x > θ,

 1 p
 θ + log , if p ≤ a,
1−a


 a
VaRp (X) =
 1 1−p
 θ − log

 , if p > a,
 a 1−a
log a log p − 1
θ− + , if p ≤ a,


1−a (1 − a)p



ESp (X) =

 1 1 a 1−p 1−p
θ − + − + log , if p > a


a p (1 − a)p ap 1−a

for −∞ < x < ∞, 0 0, the scale
parameter.
Usage
dPCTAlaplace(x, a=0.5, theta=0, log=FALSE)
pPCTAlaplace(x, a=0.5, theta=0, log.p=FALSE, lower.tail=TRUE)
varPCTAlaplace(p, a=0.5, theta=0, log.p=FALSE, lower.tail=TRUE)
esPCTAlaplace(p, a=0.5, theta=0)
Arguments
to be computed
a the value of the scale parameter, must be in the unit interval, the default is 0.5
perks 133
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dPCTAlaplace(x)
pPCTAlaplace(x)
varPCTAlaplace(x)
esPCTAlaplace(x)
perks Perks distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Perks distribution due to Perks
(1932) given by
a exp(bx) [1 + a]
f (x) = 2 ,
[1 + a exp(bx)]
1+a
F (x) = 1 − ,
1 + a exp(bx)
1 a+p
VaRp (X) = log ,
b a(1− p)
a log a (a + p) log(a + p) (1 − p) log(1 − p)
ESp (X) = − 1 + + +
p b bp bp
for x > 0, 0 0, the first scale parameter and b > 0, the second scale parameter.
Usage
dperks(x, a=1, b=1, log=FALSE)
pperks(x, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
varperks(p, a=1, b=1, log.p=FALSE, lower.tail=TRUE)
esperks(p, a=1, b=1)
134 power1
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dperks(x)
pperks(x)
varperks(x)
esperks(x)
power1 Power function I distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the power function I distribution
given by
f (x) = axa−1 ,
F (x) = xa ,
VaRp (X) = p1/a ,
p1/a
ESp (X) =
1/a + 1
for 0 < x < 1, 0 0, the shape parameter.
power1 135
Usage
dpower1(x, a=1, log=FALSE)

ppower1(x, a=1, log.p=FALSE, lower.tail=TRUE)
varpower1(p, a=1, log.p=FALSE, lower.tail=TRUE)
espower1(p, a=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dpower1(x)
ppower1(x)
varpower1(x)
espower1(x)
136 power2
power2 Power function II distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the power function II distribution
given by
f (x) = b(1 − x)b−1 ,
F (x) = 1 − (1 − x)b ,
1/b
VaRp (X) = 1 − (1 − p) 1/b+1
,
b (1 − p) −1
ESp (X) = 1 +
p(b + 1)
for 0 < x < 1, 0 0, the shape parameter.
Usage
dpower2(x, b=1, log=FALSE)
ppower2(x, b=1, log.p=FALSE, lower.tail=TRUE)
varpower2(p, b=1, log.p=FALSE, lower.tail=TRUE)
espower2(p, b=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
quad 137
Examples
dpower2(x)
ppower2(x)
varpower2(x)
espower2(x)
quad Quadratic distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the quadratic distribution given by
f (x) = α(x − β)2 ,

α
(x − β)3 + (β − a)3 ,

F (x) =
3 1/3
3p 3
VaRp (X) = β + − (β − a) ,
α
( )
4/3
α 3p 3 4
ESp (X) = β + − (β − a) − (β − a)
4p α
for a ≤ x ≤ b, 0 < p < 1, −∞ < a < ∞ , the first location parameter, and −∞ < a < b < ∞,
12 a+b
the second location parameter, where α = (b−a)3 and β = 2 .
Usage
dquad(x, a=0, b=1, log=FALSE)
pquad(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE)
varquad(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE)
esquad(p, a=0, b=1)
Arguments
to be computed
zero
138 rgamma
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dquad(x)
pquad(x)
varquad(x)
esquad(x)
rgamma Reflected gamma distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the reflected gamma distribution due
to Borgi (1965) given by
x − θ a−1

1 x − θ
f (x) = exp − ,
2φΓ
 (a) φ

φ
1 θ−x
 Q a, , if x ≤ θ,


 2
 φ
F (x) =

 1 x−θ
 1 − Q a, , if x > θ,


 2 −1
φ
 θ − φQ (a, 2p) , if p ≤ 1/2,
VaRp (X) =
−1
 θ + φQ Z p (a, 2(1 − p)) , if p > 1/2,

 θ− φ
 Q−1 (a, 2v) dv, if p ≤ 1/2,


 p 0
ESp (X) =
φ 1/2 −1 φ p −1
 Z Z

 θ− Q (a, 2v) dv + Q (a, 2(1 − v)) dv, if p > 1/2


p 0 p 1/2
for −∞ < x < ∞, 0 0, the scale parameter,
rgamma 139
Usage
drgamma(x, a=1, theta=0, phi=1, log=FALSE)

prgamma(x, a=1, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE)
varrgamma(p, a=1, theta=0, phi=1, log.p=FALSE, lower.tail=TRUE)
esrgamma(p, a=1, theta=0, phi=1)
Arguments

to be computed
phi the value of the scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
drgamma(x)
prgamma(x)
varrgamma(x)
esrgamma(x)
140 RS
RS Ramberg-Schmeiser distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Ramber-Schmeiser distribution
due to Ramberg and Schmeiser (1974) given by
pb − (1 − p)c
VaRp (X) = ,
b
d
p (1 − p)c+1 − 1
ESp (X) = +
d(b + 1) pd(c + 1)
for 0 0, the first shape parameter, c > 0, the second shape parameter, and d > 0, the
scale parameter.
Usage
varRS(p, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
esRS(p, b=1, c=1, d=1)
Arguments
to be computed
d the value of the scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
schabe 141
Examples
varRS(x)
esRS(x)
schabe Schabe distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Schabe distribution due to Schabe
(1994) given by
2γ + (1 − γ)x/θ
f (x) = ,
θ(γ + x/θ)2
(1 + γ)x
F (x) = ,
x + γθ
pγθ
VaRp (X) = ,
1+γ−p
θγ(1 + γ) 1+γ−p
ESp (X) = −θγ − log
p 1+γ
for x > 0, 0 0, the second scale parameter.
Usage
dschabe(x, gamma=0.5, theta=1, log=FALSE)
pschabe(x, gamma=0.5, theta=1, log.p=FALSE, lower.tail=TRUE)
varschabe(p, gamma=0.5, theta=1, log.p=FALSE, lower.tail=TRUE)
esschabe(p, gamma=0.5, theta=1)
Arguments
to be computed
gamma the value of the first scale parameter, must be in the unit interval, the default is
0.5
theta the value of the second scale parameter, must be positive, the default is 1
Value
142 secant
Author(s)
Saralees Nadarajah
References
submitted
Examples
dschabe(x)
pschabe(x)
varschabe(x)
esschabe(x)
secant Hyperbolic secant distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the hyperbolic secant distribution
given by
1 πx
f (x) = sech ,
2 2h
2 πx i
F (x) = arctan exp ,
π 2πp i
2 h
VaRp (X) = log tan ,
πZ p 2 i
2 h πv
ESp (X) = log tan dv
πp 0 2
for −∞ < x < ∞, and 0 < p < 1.
Usage
dsecant(x, log=FALSE)
psecant(x, log.p=FALSE, lower.tail=TRUE)
varsecant(p, log.p=FALSE, lower.tail=TRUE)
essecant(p)
Arguments
to be computed
stacygamma 143
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dsecant(x)
psecant(x)
varsecant(x)
essecant(x)
stacygamma Stacy distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for Stacy distribution due to Stacy (1962)
given by
cxcγ−1 exp [−(x/θ)c ]
f (x) = ,
θcγ Γ(γ)
x c
F (x) = 1 − Q γ, ,
−1 θ 1/c
VaRp (X) = θZ Q (γ, 1 − p) ,
θ p −1 1/c
ESp (X) = Q (γ, 1 − v) dv
p 0
for x > 0, 0 0, the scale parameter, c > 0, the first shape parameter, and γ > 0, the
Usage
dstacygamma(x, gamma=1, c=1, theta=1, log=FALSE)
pstacygamma(x, gamma=1, c=1, theta=1, log.p=FALSE, lower.tail=TRUE)
varstacygamma(p, gamma=1, c=1, theta=1, log.p=FALSE, lower.tail=TRUE)
esstacygamma(p, gamma=1, c=1, theta=1)
144 T
Arguments

to be computed
theta the value of the scale parameter, must be positive, the default is 1
c the value of the first scale parameter, must be positive, the default is 1
gamma the value of the second scale parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dstacygamma(x)
pstacygamma(x)
varstacygamma(x)
esstacygamma(x)
T Student’s t distribution
T 145
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Student’s t distribution due to
Gosset (1908) given by
− n+1
Γ n+1

2 x2 2
f (x) = √ 1 + ,
nπΓ n2

n
1 + sign(x) sign(x) n 1
F (x) = − I 2n , ,
2 2 sx +n 2 2
√

1 1
VaRp (X) = nsign p − −1
− 1,
2 Ia n2 , 12
where a = 2p if p < 1/2, a = 2(1 − p) if p ≥ 1/2,
√ Z p s
n 1 1
ESp (X) = sign v − − 1dv,
p 0 2 Ia−1 n2 , 21
where a = 2v if v < 1/2, a = 2(1 − v) if v ≥ 1/2
for −∞ < x < ∞, 0 0, the degree of freedom parameter.
Usage
dT(x, n=1, log=FALSE)
pT(x, n=1, log.p=FALSE, lower.tail=TRUE)
varT(p, n=1, log.p=FALSE, lower.tail=TRUE)
esT(p, n=1)
Arguments
to be computed
n the value of the degree of freedom parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
References
submitted
146 TL
Examples
dT(x)
pT(x)
varT(x)
esT(x)
TL Tukey-Lambda distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Tukey-Lambda distribution due
to Tukey (1962) given by
pλ − (1 − p)λ
VaRp (X) = ,
λ+1
λ λ+1
p + (1 − p) −1
ESp (X) =
pλ(λ + 1)
for 0 0, the shape parameter.
Usage
varTL(p, lambda=1, log.p=FALSE, lower.tail=TRUE)
esTL(p, lambda=1)
Arguments
to be computed
lambda the value of the shape parameter, must be positive, the default is 1
Value
Author(s)
Saralees Nadarajah
TL2 147
References
submitted
Examples
varTL(x)
esTL(x)
TL2 Topp-Leone distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Topp-Leone distribution due to
Topp and Leone (1955) given by
f (x) = 2b(x(2 − x))b−1 (1 − x),

b
F (x) = (x(2 − x))
p,
VaRp (X) = 1 − 1 − p1/b ,
b 3
ESp (X) = 1 − Bp1/b b,
p 2
for x > 0, 0 0, the shape parameter.
Usage
dTL2(x, b=1, log=FALSE)
pTL2(x, b=1, log.p=FALSE, lower.tail=TRUE)
varTL2(p, b=1, log.p=FALSE, lower.tail=TRUE)
esTL2(p, b=1)
Arguments
to be computed
Value
148 triangular
Author(s)
Saralees Nadarajah
References
submitted
Examples
dTL2(x)
pTL2(x)
varTL2(x)
esTL2(x)
triangular Triangular distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the triangular distribution given by


 0, if x < a,





 2(x − a)
, if a ≤ x ≤ c,


 (b − a)(c − a)


f (x) =

 2(b − x)
, if c < x ≤ b,


 (b − a)(b − c)







 0, if b < x,


 0, if x < a,



(x − a)2



, if a ≤ x ≤ c,


 (b − a)(c − a)


F (x) =
(b − x)2


1 − , if c < x ≤ b,


(b − a)(b − c)








1, if b < x,

p
 a + p(b − a)(c − a),
 if 0 < p < c−a
b−a ,
VaRp (X) = p
 b − (1 − p)(b − a)(b − c), if c−a ≤ p < 1,

b−a
2p


 a+ p(b − a)(c − a), if 0 < p < c−a
b−a ,

 3
ESp (X) =
3/2
 b + a − c + 2(2c − a − b) + 2p(b − a)(b − c) (1 − p) , if c−a ≤ p < 1


 b−a
p 3p 3p
triangular 149
for a ≤ x ≤ b, 0 < p < 1, −∞ < a < ∞, the first location parameter, −∞ < a < c < ∞, the
second location parameter, and −∞ < c < b < ∞, the third location parameter.
Usage
dtriangular(x, a=0, b=2, c=1, log=FALSE)
ptriangular(x, a=0, b=2, c=1, log.p=FALSE, lower.tail=TRUE)
vartriangular(p, a=0, b=2, c=1, log.p=FALSE, lower.tail=TRUE)
estriangular(p, a=0, b=2, c=1)
Arguments
to be computed
zero
c the value of the second location parameter, can take any real value but must be
b the value of the third location parameter, can take any real value but must be
greater than c, the default is 2
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dtriangular(x)
ptriangular(x)
vartriangular(x)
estriangular(x)
150 tsp
tsp Two sided power distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the two sided power distribution due
to van Dorp and Kotz (2002) given by
 x a−1
 a
 , if 0 < x ≤ θ,
f (x) = θ a−1
1−x
 a
 , if θ < x < 1,
1−θ
 x a
 θ
 , if 0 < x ≤ θ,
θ a
F (x) =
1 − x
 1 − (1 − θ)
 , if θ < x < 1,
 1−θ
p 1/a
 θ , if 0 < p ≤ θ,


θ
VaRp (X) = 1/a
1−p
 1 − (1 − θ) , if θ 0, the shape parameter, and −∞ < θ < ∞, the location parameter.
Usage
dtsp(x, a=1, theta=0.5, log=FALSE)
ptsp(x, a=1, theta=0.5, log.p=FALSE, lower.tail=TRUE)
vartsp(p, a=1, theta=0.5, log.p=FALSE, lower.tail=TRUE)
estsp(p, a=1, theta=0.5)
Arguments
to be computed
theta the value of the location parameter, must take a value in the unit interval, the
default is 0.5
uniform 151
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dtsp(x)
ptsp(x)
vartsp(x)
estsp(x)
uniform Uniform distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the uniform distribution given by
1
f (x) = ,
b−a
x−a
F (x) = ,
b−a
VaRp (X) = a + p(b − a),
p
ESp (X) = a + (b − a)
2
for a < x < b, 0 < p < 1, −∞ < a < ∞ , the first location parameter, and −∞ < a < b < ∞ ,
the second location parameter.
Usage
duniform(x, a=0, b=1, log=FALSE)

puniform(x, a=0, b=1, log.p=FALSE, lower.tail=TRUE)
varuniform(p, a=0, b=1, log.p=FALSE, lower.tail=TRUE)
esuniform(p, a=0, b=1)
152 weibull
Arguments
to be computed
zero
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
duniform(x)
puniform(x)
varuniform(x)
esuniform(x)
weibull Weibull distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Weibull distribution due to
Weibull (1951) given by
αxα−1 n x α o
f (x) = exp − ,
σα n x σαo
F (x) = 1 − exp − ,
σ
1/α
VaRp (X) = σ [− log(1 − p)] ,
σ
ESp (X) = γ (1 + 1/α, − log(1 − p))
p
weibull 153
for x > 0, 0 0, the shape parameter, and σ > 0, the scale parameter.
Usage
dWeibull(x, alpha=1, sigma=1, log=FALSE)

pWeibull(x, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
varWeibull(p, alpha=1, sigma=1, log.p=FALSE, lower.tail=TRUE)
esWeibull(p, alpha=1, sigma=1)
Arguments

to be computed
Value
Author(s)
Saralees Nadarajah
References
submitted
Examples
dWeibull(x)
pWeibull(x)
varWeibull(x)
esWeibull(x)
154 xie
xie Xie distribution
Description
Computes the pdf, cdf, value at risk and expected shortfall for the Xie distribution due to Xie et al.
(2002) given by
x b−1
exp (x/a)b exp (λa) exp −λa exp (x/a)b ,

f (x) = λb
a
F (x) = 1 − exp (λa) exp −λa exp (x/a)b ,

1/b
log(1 − p)
VaRp (X) = a log 1 − ,
λa
Z p 1/b
a log(1 − v)
ESp (X) = log 1 − dv
p 0 λa
for x > 0, 0 0, the first scale parameter, b > 0, the shape parameter, and λ > 0, the
second scale parameter.
Usage
dxie(x, a=1, b=1, lambda=1, log=FALSE)
pxie(x, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
varxie(p, a=1, b=1, lambda=1, log.p=FALSE, lower.tail=TRUE)
esxie(p, a=1, b=1, lambda=1)
Arguments
to be computed
Value
Author(s)
Saralees Nadarajah
xie 155
References
submitted
Examples
dxie(x)
pxie(x)
varxie(x)
esxie(x)
Index
∗Topic Valueat risk, expected F, 55

shortfall FR, 56
aep, 4 frechet, 57
arcsine, 6 Gamma, 59
ast, 8 genbeta, 60
asylaplace, 9 genbeta2, 61
asypower, 11 geninvbeta, 63
beard, 13 genlogis, 64
betaburr, 15 genlogis3, 65
betaburr7, 16 genlogis4, 67
betadist, 17 genpareto, 68
betaexp, 19 genpowerweibull, 69
betafrechet, 20 genunif, 71
betagompertz, 21 gev, 72
betagumbel, 23 gompertz, 73
betagumbel2, 24 gumbel, 75
betalognorm, 25 gumbel2, 76
betalomax, 26 halfcauchy, 77
betanorm, 28 halflogis, 78
betapareto, 29 halfnorm, 80
betaweibull, 30 halfT, 81
BS, 32 HBlaplace, 82
burr, 33 HL, 83
burr7, 34 Hlogis, 84
Cauchy, 35 invbeta, 86
chen, 37 invexpexp, 87
clg, 38 invgamma, 88
compbeta, 39 kum, 89
dagum, 41 kumburr7, 91
dweibull, 42 kumexp, 92
expexp, 44 kumgamma, 93
expext, 45 kumgumbel, 95
expgeo, 46 kumhalfnorm, 96
explog, 47 kumloglogis, 97
explogis, 49 kumnormal, 99
exponential, 50 kumpareto, 100
exppois, 51 kumweibull, 102
exppower, 52 laplace, 103
expweibull, 54 lfr, 104
156
INDEX 157
LNbeta, 106 betaburr7, 16

logbeta, 107 betadist, 17
logcauchy, 108 betaexp, 19
loggamma, 109 betafrechet, 20
logisexp, 111 betagompertz, 21
logisrayleigh, 112 betagumbel, 23
logistic, 113 betagumbel2, 24
loglaplace, 114 betalognorm, 25
loglog, 116 betalomax, 26
loglogis, 117 betanorm, 28
lognorm, 119 betapareto, 29
lomax, 120 betaweibull, 30
Mlaplace, 121 BS, 32
moexp, 123 burr, 33
moweibull, 124 burr7, 34
MRbeta, 125
nakagami, 127 Cauchy, 35
normal, 128 chen, 37
pareto, 129 clg, 38
paretostable, 130 compbeta, 39
PCTAlaplace, 132
perks, 133 daep (aep), 4
power1, 134 dagum, 41
power2, 136 darcsine (arcsine), 6
quad, 137 dast (ast), 8
rgamma, 138 dasylaplace (asylaplace), 9
RS, 140 dasypower (asypower), 11
schabe, 141 dbeard (beard), 13
secant, 142 dbetaburr (betaburr), 15
stacygamma, 143 dbetaburr7 (betaburr7), 16
T, 144 dbetadist (betadist), 17
TL, 146 dbetaexp (betaexp), 19
TL2, 147 dbetafrechet (betafrechet), 20
triangular, 148 dbetagompertz (betagompertz), 21
tsp, 150 dbetagumbel (betagumbel), 23
uniform, 151 dbetagumbel2 (betagumbel2), 24
weibull, 152 dbetalognorm (betalognorm), 25
xie, 154 dbetalomax (betalomax), 26
∗Topic package dbetanorm (betanorm), 28
VaRES-package, 4 dbetapareto (betapareto), 29
dbetaweibull (betaweibull), 30
aep, 4 dBS (BS), 32
arcsine, 6 dburr (burr), 33
ast, 8 dburr7 (burr7), 34
asylaplace, 9 dCauchy (Cauchy), 35
asypower, 11 dchen (chen), 37
dclg (clg), 38
beard, 13 dcompbeta (compbeta), 39
betaburr, 15 ddagum (dagum), 41
158 INDEX
ddweibull (dweibull), 42 dlogbeta (logbeta), 107

dexpexp (expexp), 44 dlogcauchy (logcauchy), 108
dexpext (expext), 45 dloggamma (loggamma), 109
dexpgeo (expgeo), 46 dlogisexp (logisexp), 111
dexplog (explog), 47 dlogisrayleigh (logisrayleigh), 112
dexplogis (explogis), 49 dlogistic (logistic), 113
dexponential (exponential), 50 dloglaplace (loglaplace), 114
dexppois (exppois), 51 dloglog (loglog), 116
dexppower (exppower), 52 dloglogis (loglogis), 117
dexpweibull (expweibull), 54 dlognorm (lognorm), 119
dF (F), 55 dlomax (lomax), 120
dfrechet (frechet), 57 dMlaplace (Mlaplace), 121
dGamma (Gamma), 59 dmoexp (moexp), 123
dgenbeta (genbeta), 60 dmoweibull (moweibull), 124
dgenbeta2 (genbeta2), 61 dMRbeta (MRbeta), 125
dgeninvbeta (geninvbeta), 63 dnakagami (nakagami), 127
dgenlogis (genlogis), 64 dnormal (normal), 128
dgenlogis3 (genlogis3), 65 dpareto (pareto), 129
dgenlogis4 (genlogis4), 67 dparetostable (paretostable), 130
dgenpareto (genpareto), 68 dPCTAlaplace (PCTAlaplace), 132
dgenpowerweibull (genpowerweibull), 69 dperks (perks), 133
dgenunif (genunif), 71 dpower1 (power1), 134
dgev (gev), 72 dpower2 (power2), 136
dgompertz (gompertz), 73 dquad (quad), 137
drgamma (rgamma), 138
dgumbel (gumbel), 75
dschabe (schabe), 141
dgumbel2 (gumbel2), 76
dsecant (secant), 142
dhalfcauchy (halfcauchy), 77
dstacygamma (stacygamma), 143
dhalflogis (halflogis), 78
dT (T), 144
dhalfnorm (halfnorm), 80
dTL2 (TL2), 147
dhalfT (halfT), 81
dtriangular (triangular), 148
dHBlaplace (HBlaplace), 82
dtsp (tsp), 150
dHlogis (Hlogis), 84
duniform (uniform), 151
dinvbeta (invbeta), 86
dWeibull (weibull), 152
dinvexpexp (invexpexp), 87 dweibull, 42
dinvgamma (invgamma), 88 dxie (xie), 154
dkum (kum), 89
dkumburr7 (kumburr7), 91 esaep (aep), 4
dkumexp (kumexp), 92 esarcsine (arcsine), 6
dkumgamma (kumgamma), 93 esast (ast), 8
dkumgumbel (kumgumbel), 95 esasylaplace (asylaplace), 9
dkumhalfnorm (kumhalfnorm), 96 esasypower (asypower), 11
dkumloglogis (kumloglogis), 97 esbeard (beard), 13
dkumnormal (kumnormal), 99 esbetaburr (betaburr), 15
dkumpareto (kumpareto), 100 esbetaburr7 (betaburr7), 16
dkumweibull (kumweibull), 102 esbetadist (betadist), 17
dlaplace (laplace), 103 esbetaexp (betaexp), 19
dlfr (lfr), 104 esbetafrechet (betafrechet), 20
dLNbeta (LNbeta), 106 esbetagompertz (betagompertz), 21
INDEX 159
esbetagumbel (betagumbel), 23 esHlogis (Hlogis), 84

esbetagumbel2 (betagumbel2), 24 esinvbeta (invbeta), 86
esbetalognorm (betalognorm), 25 esinvexpexp (invexpexp), 87
esbetalomax (betalomax), 26 esinvgamma (invgamma), 88
esbetanorm (betanorm), 28 eskum (kum), 89
esbetapareto (betapareto), 29 eskumburr7 (kumburr7), 91
esbetaweibull (betaweibull), 30 eskumexp (kumexp), 92
esBS (BS), 32 eskumgamma (kumgamma), 93
esburr (burr), 33 eskumgumbel (kumgumbel), 95
esburr7 (burr7), 34 eskumhalfnorm (kumhalfnorm), 96
esCauchy (Cauchy), 35 eskumloglogis (kumloglogis), 97
eschen (chen), 37 eskumnormal (kumnormal), 99
esclg (clg), 38 eskumpareto (kumpareto), 100
escompbeta (compbeta), 39 eskumweibull (kumweibull), 102
esdagum (dagum), 41 eslaplace (laplace), 103
esdweibull (dweibull), 42 eslfr (lfr), 104
esexpexp (expexp), 44 esLNbeta (LNbeta), 106
esexpext (expext), 45 eslogbeta (logbeta), 107
esexpgeo (expgeo), 46 eslogcauchy (logcauchy), 108
esexplog (explog), 47 esloggamma (loggamma), 109
esexplogis (explogis), 49 eslogisexp (logisexp), 111
esexponential (exponential), 50 eslogisrayleigh (logisrayleigh), 112
esexppois (exppois), 51 eslogistic (logistic), 113
esexppower (exppower), 52 esloglaplace (loglaplace), 114
esexpweibull (expweibull), 54 esloglog (loglog), 116
esF (F), 55 esloglogis (loglogis), 117
esFR (FR), 56 eslognorm (lognorm), 119
esfrechet (frechet), 57 eslomax (lomax), 120
esGamma (Gamma), 59 esMlaplace (Mlaplace), 121
esgenbeta (genbeta), 60 esmoexp (moexp), 123
esgenbeta2 (genbeta2), 61 esmoweibull (moweibull), 124
esgeninvbeta (geninvbeta), 63 esMRbeta (MRbeta), 125
esgenlogis (genlogis), 64 esnakagami (nakagami), 127
esgenlogis3 (genlogis3), 65 esnormal (normal), 128
esgenlogis4 (genlogis4), 67 espareto (pareto), 129
esgenpareto (genpareto), 68 esparetostable (paretostable), 130
esgenpowerweibull (genpowerweibull), 69 esPCTAlaplace (PCTAlaplace), 132
esgenunif (genunif), 71 esperks (perks), 133
esgev (gev), 72 espower1 (power1), 134
esgompertz (gompertz), 73 espower2 (power2), 136
esgumbel (gumbel), 75 esquad (quad), 137
esgumbel2 (gumbel2), 76 esrgamma (rgamma), 138
eshalfcauchy (halfcauchy), 77 esRS (RS), 140
eshalflogis (halflogis), 78 esschabe (schabe), 141
eshalfnorm (halfnorm), 80 essecant (secant), 142
eshalfT (halfT), 81 esstacygamma (stacygamma), 143
esHBlaplace (HBlaplace), 82 esT (T), 144
esHL (HL), 83 esTL (TL), 146
160 INDEX
esTL2 (TL2), 147 kumexp, 92

estriangular (triangular), 148 kumgamma, 93
estsp (tsp), 150 kumgumbel, 95
esuniform (uniform), 151 kumhalfnorm, 96
esWeibull (weibull), 152 kumloglogis, 97
esxie (xie), 154 kumnormal, 99
expexp, 44 kumpareto, 100
expext, 45 kumweibull, 102
expgeo, 46
explog, 47 laplace, 103
explogis, 49 lfr, 104
exponential, 50 LNbeta, 106
exppois, 51 logbeta, 107
exppower, 52 logcauchy, 108
expweibull, 54 loggamma, 109
logisexp, 111
F, 55 logisrayleigh, 112
FR, 56 logistic, 113
frechet, 57 loglaplace, 114
loglog, 116
Gamma, 59 loglogis, 117
genbeta, 60 lognorm, 119
genbeta2, 61 lomax, 120
geninvbeta, 63
genlogis, 64 Mlaplace, 121
genlogis3, 65 moexp, 123
genlogis4, 67 moweibull, 124
genpareto, 68 MRbeta, 125
genpowerweibull, 69
genunif, 71 nakagami, 127
gev, 72 normal, 128
gompertz, 73
gumbel, 75 paep (aep), 4
gumbel2, 76 parcsine (arcsine), 6
pareto, 129
halfcauchy, 77 paretostable, 130
halflogis, 78 past (ast), 8
halfnorm, 80 pasylaplace (asylaplace), 9
halfT, 81 pasypower (asypower), 11
HBlaplace, 82 pbeard (beard), 13
HL, 83 pbetaburr (betaburr), 15
Hlogis, 84 pbetaburr7 (betaburr7), 16
pbetadist (betadist), 17
invbeta, 86 pbetaexp (betaexp), 19
invexpexp, 87 pbetafrechet (betafrechet), 20
invgamma, 88 pbetagompertz (betagompertz), 21
pbetagumbel (betagumbel), 23
kum, 89 pbetagumbel2 (betagumbel2), 24
kumburr7, 91 pbetalognorm (betalognorm), 25
INDEX 161
pbetalomax (betalomax), 26 pinvgamma (invgamma), 88

pbetanorm (betanorm), 28 pkum (kum), 89
pbetapareto (betapareto), 29 pkumburr7 (kumburr7), 91
pbetaweibull (betaweibull), 30 pkumexp (kumexp), 92
pBS (BS), 32 pkumgamma (kumgamma), 93
pburr (burr), 33 pkumgumbel (kumgumbel), 95
pburr7 (burr7), 34 pkumhalfnorm (kumhalfnorm), 96
pCauchy (Cauchy), 35 pkumloglogis (kumloglogis), 97
pchen (chen), 37 pkumnormal (kumnormal), 99
pclg (clg), 38 pkumpareto (kumpareto), 100
pcompbeta (compbeta), 39 pkumweibull (kumweibull), 102
PCTAlaplace, 132 plaplace (laplace), 103
pdagum (dagum), 41 plfr (lfr), 104
pdweibull (dweibull), 42 pLNbeta (LNbeta), 106
perks, 133 plogbeta (logbeta), 107
pexpexp (expexp), 44 plogcauchy (logcauchy), 108
pexpext (expext), 45 ploggamma (loggamma), 109
pexpgeo (expgeo), 46 plogisexp (logisexp), 111
pexplog (explog), 47 plogisrayleigh (logisrayleigh), 112
pexplogis (explogis), 49 plogistic (logistic), 113
pexponential (exponential), 50 ploglaplace (loglaplace), 114
pexppois (exppois), 51 ploglog (loglog), 116
pexppower (exppower), 52 ploglogis (loglogis), 117
pexpweibull (expweibull), 54 plognorm (lognorm), 119
pF (F), 55 plomax (lomax), 120
pfrechet (frechet), 57 pMlaplace (Mlaplace), 121
pGamma (Gamma), 59 pmoexp (moexp), 123
pgenbeta (genbeta), 60 pmoweibull (moweibull), 124
pgenbeta2 (genbeta2), 61 pMRbeta (MRbeta), 125
pgeninvbeta (geninvbeta), 63 pnakagami (nakagami), 127
pgenlogis (genlogis), 64 pnormal (normal), 128
pgenlogis3 (genlogis3), 65 power1, 134
pgenlogis4 (genlogis4), 67 power2, 136
pgenpareto (genpareto), 68 ppareto (pareto), 129
pgenpowerweibull (genpowerweibull), 69 pparetostable (paretostable), 130
pgenunif (genunif), 71 pPCTAlaplace (PCTAlaplace), 132
pgev (gev), 72 pperks (perks), 133
pgompertz (gompertz), 73 ppower1 (power1), 134
pgumbel (gumbel), 75 ppower2 (power2), 136
pgumbel2 (gumbel2), 76 pquad (quad), 137
phalfcauchy (halfcauchy), 77 prgamma (rgamma), 138
phalflogis (halflogis), 78 pschabe (schabe), 141
phalfnorm (halfnorm), 80 psecant (secant), 142
phalfT (halfT), 81 pstacygamma (stacygamma), 143
pHBlaplace (HBlaplace), 82 pT (T), 144
pHlogis (Hlogis), 84 pTL2 (TL2), 147
pinvbeta (invbeta), 86 ptriangular (triangular), 148
pinvexpexp (invexpexp), 87 ptsp (tsp), 150
162 INDEX
puniform (uniform), 151 VaRES-package, 4

pWeibull (weibull), 152 varexpexp (expexp), 44
pxie (xie), 154 varexpext (expext), 45
varexpgeo (expgeo), 46
quad, 137 varexplog (explog), 47
varexplogis (explogis), 49
rgamma, 138
varexponential (exponential), 50
RS, 140
varexppois (exppois), 51
schabe, 141 varexppower (exppower), 52
secant, 142 varexpweibull (expweibull), 54
stacygamma, 143 varF (F), 55
varFR (FR), 56
T, 144 varfrechet (frechet), 57
TL, 146 varGamma (Gamma), 59
TL2, 147 vargenbeta (genbeta), 60
triangular, 148 vargenbeta2 (genbeta2), 61
tsp, 150 vargeninvbeta (geninvbeta), 63
vargenlogis (genlogis), 64
uniform, 151 vargenlogis3 (genlogis3), 65
vargenlogis4 (genlogis4), 67
varaep (aep), 4
vargenpareto (genpareto), 68
vararcsine (arcsine), 6
vargenpowerweibull (genpowerweibull), 69
varast (ast), 8
vargenunif (genunif), 71
varasylaplace (asylaplace), 9
vargev (gev), 72
varasypower (asypower), 11
varbeard (beard), 13 vargompertz (gompertz), 73
varbetaburr (betaburr), 15 vargumbel (gumbel), 75
varbetaburr7 (betaburr7), 16 vargumbel2 (gumbel2), 76
varbetadist (betadist), 17 varhalfcauchy (halfcauchy), 77
varbetaexp (betaexp), 19 varhalflogis (halflogis), 78
varbetafrechet (betafrechet), 20 varhalfnorm (halfnorm), 80
varbetagompertz (betagompertz), 21 varhalfT (halfT), 81
varbetagumbel (betagumbel), 23 varHBlaplace (HBlaplace), 82
varbetagumbel2 (betagumbel2), 24 varHL (HL), 83
varbetalognorm (betalognorm), 25 varHlogis (Hlogis), 84
varbetalomax (betalomax), 26 varinvbeta (invbeta), 86
varbetanorm (betanorm), 28 varinvexpexp (invexpexp), 87
varbetapareto (betapareto), 29 varinvgamma (invgamma), 88
varbetaweibull (betaweibull), 30 varkum (kum), 89
varBS (BS), 32 varkumburr7 (kumburr7), 91
varburr (burr), 33 varkumexp (kumexp), 92
varburr7 (burr7), 34 varkumgamma (kumgamma), 93
varCauchy (Cauchy), 35 varkumgumbel (kumgumbel), 95
varchen (chen), 37 varkumhalfnorm (kumhalfnorm), 96
varclg (clg), 38 varkumloglogis (kumloglogis), 97
varcompbeta (compbeta), 39 varkumnormal (kumnormal), 99
vardagum (dagum), 41 varkumpareto (kumpareto), 100
vardweibull (dweibull), 42 varkumweibull (kumweibull), 102
VaRES (VaRES-package), 4 varlaplace (laplace), 103
INDEX 163
varlfr (lfr), 104

varLNbeta (LNbeta), 106
varlogbeta (logbeta), 107
varlogcauchy (logcauchy), 108
varloggamma (loggamma), 109
varlogisexp (logisexp), 111
varlogisrayleigh (logisrayleigh), 112
varlogistic (logistic), 113
varloglaplace (loglaplace), 114
varloglog (loglog), 116
varloglogis (loglogis), 117
varlognorm (lognorm), 119
varlomax (lomax), 120
varMlaplace (Mlaplace), 121
varmoexp (moexp), 123
varmoweibull (moweibull), 124
varMRbeta (MRbeta), 125
varnakagami (nakagami), 127
varnormal (normal), 128
varpareto (pareto), 129
varparetostable (paretostable), 130
varPCTAlaplace (PCTAlaplace), 132
varperks (perks), 133
varpower1 (power1), 134
varpower2 (power2), 136
varquad (quad), 137
varrgamma (rgamma), 138
varRS (RS), 140
varschabe (schabe), 141
varsecant (secant), 142
varstacygamma (stacygamma), 143
varT (T), 144
varTL (TL), 146
varTL2 (TL2), 147
vartriangular (triangular), 148
vartsp (tsp), 150
varuniform (uniform), 151
varWeibull (weibull), 152
varxie (xie), 154
weibull, 152
xie, 154

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Package ‘VaRES’

February 19, 2015

Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta

aep Asymmetric exponential power distribution

arcsine Arcsine distribution

darcsine(x, a=0, b=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

ast Generalized asymmetric Student’s t distribution

asylaplace Asymmetric Laplace distribution

log if TRUE then log(pdf) are returned

asypower Asymmetric power distribution

log if TRUE then log(pdf) are returned

beard Beard distribution

dbeard(x, a=1, b=1, rho=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

betaburr Beta Burr distribution

betaburr7 Beta Burr XII distribution

betadist Beta distribution

dbetadist(x, a=1, b=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

betaexp Beta exponential distribution

betafrechet Beta Frechet distribution

betagompertz Beta Gompertz distribution

dbetagompertz(x, b=1, c=1, d=1, eta=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

betagumbel Beta Gumbel distribution

betagumbel2 Beta Gumbel 2 distribution

betalognorm Beta lognormal distribution

x scaler or vector of values at which the pdf or cdf needs to be computed

betalomax Beta Lomax distribution

betanorm Beta normal distribution

betapareto Beta Pareto distribution

x scaler or vector of values at which the pdf or cdf needs to be computed

betaweibull Beta Weibull distribution

burr Burr distribution

log if TRUE then log(pdf) are returned

burr7 Burr XII distribution

Cauchy Cauchy distribution

dCauchy(x, mu=0, sigma=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

chen Chen distribution

clg Compound Laplace gamma distribution

compbeta Complementary beta distribution

dcompbeta(x, a=1, b=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

dagum Dagum distribution

dweibull Double Weibull distribution

ddweibull(x, c=1, mu=0, sigma=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

expexp Exponentiated exponential distribution

expext Exponential extension distribution

f (x) = aλ(1 + λx)a−1 exp [1 − (1 + λx)a ] ,

expgeo Exponential geometric distribution

explog Exponential logarithmic distribution

dexplog(x, a=0.5, b=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

explogis Exponentiated logistic distribution

exponential Exponential distribution

exppois Exponential Poisson distribution

exppower Exponential power distribution

expweibull Exponentiated Weibull distribution

frechet Frechet distribution

dfrechet(x, alpha=1, sigma=1, log=FALSE)

x scaler or vector of values at which the pdf or cdf needs to be computed

2ab x h x ia−1 n h x ia ob−1

abαxα−1 h x α i n h x α ioa−1 n h x α ioa b−1