| Title: | Miscellaneous Functions for Vasicek Distribution |
| Version: | 0.0.3 |
| Description: | Provide a collection of miscellaneous R functions related to the Vasicek distribution with the intent to make the lives of risk modelers easier. |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/statcompute/vasicek |
| Author: | WenSui Liu |
| Maintainer: | WenSui Liu <liuwensui@gmail.com> |
| Depends: | R (≥ 3.6.0) |
| Imports: | stats, mvtnorm |
| Encoding: | UTF-8 |
| LazyData: | true |
| RoxygenNote: | 7.1.1 |
| NeedsCompilation: | no |
| Packaged: | 2020-11-08 20:38:59 UTC; liuwensui |
| Repository: | CRAN |
| Date/Publication: | 2020-11-08 20:50:02 UTC |
Kolmogorov-Smirnov goodness-of-fit test for the Vasicek distribution
Description
The function gof_ks performs Kolmogorov-Smirnov goodness-of-fit
test for the Vasicek distribution
Usage
gof_ks(x, Rho, P)
Arguments
x |
A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution |
Rho |
The Rho parameter in the Vasicek distribution |
P |
The P parameter in the Vasicek distribution |
Value
A list with statistical test result, including ks stat and p-value.
Examples
x <- vsk_rvs(100, Rho = 0.2, P = 0.1)
gof_ks(x, Rho = 0.2, P = 0.1)
Estimating Vasicek Rho parameter by assuming the know P parameter
Description
The function vsk_Rho estimates Rho parameter in the Vasicek
distribution by using maximum likelihood estimator, assuming the
known P parameter.
Usage
vsk_Rho(x, p)
Arguments
x |
A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution |
p |
A numeric vector in the (0, 1) interval. p has the same length as x. Each value of p can be a constant or varying. |
Value
A scalar representing the Rho parameter in the Vasicek distribution.
Examples
x <- vsk_rvs(1000, Rho = 0.2, P = 0.1)
p <- rep(mean(x), length(x))
vsk_Rho(x, p)
# 0.2110976
Calculating the cumulative distribution function of Vasicek
Description
The function vsk_cdf calculates the cumulative distribution
function of Vasicek.
Usage
vsk_cdf(x, Rho, P)
Arguments
x |
A numeric vector in the [0, 1] interval that is supposed to follow the Vasicek distribution |
Rho |
The Rho parameter in the Vasicek distribution |
P |
The P parameter in the Vasicek distribution |
Value
A numeric vector with the corresponding cdf.
Examples
vsk_cdf(c(0.278837772815679, 0.5217229060260343), Rho = 0.2, P = 0.3)
# [1] 0.5 0.9
Estimating Vasicek parameters by using direct moment matching
Description
The function vsk_mle estimates parameters in the Vasicek
distribution by using direct moment matching.
Usage
vsk_dmm(x)
Arguments
x |
A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution |
Value
A list with Vasicek parameters, namely Rho and P.
Examples
vsk_dmm(vsk_rvs(1000, Rho = 0.2, P = 0.1))
# $Rho
# [1] 0.2135844
# $P
# [1] 0.1025469
Estimating Vasicek parameters by using indirect moment matching
Description
The function vsk_imm estimates parameters in the Vasicek
distribution by using indirect moment matching.
Usage
vsk_imm(x)
Arguments
x |
A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution |
Value
A list with Vasicek parameters, namely Rho and P.
Examples
vsk_imm(vsk_rvs(1000, Rho = 0.2, P = 0.1))
# $Rho
# [1] 0.2110422
# $P
# [1] 0.1024877
Estimating Vasicek parameters by using maximum likelihood estimator
Description
The function vsk_mle estimates parameters in the Vasicek
distribution by using maximum likelihood estimator.
Usage
vsk_mle(x)
Arguments
x |
A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution |
Value
A list with Vasicek parameters, namely Rho and P.
Examples
vsk_mle(vsk_rvs(1000, Rho = 0.2, P = 0.1))
# $Rho
# [1] 0.2110976
# $P
# [1] 0.1025469
Calculating the probability density function of Vasicek
Description
The function vsk_pdf calculates the probability density
function of Vasicek.
Usage
vsk_pdf(x, Rho, P)
Arguments
x |
A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution |
Rho |
The Rho parameter in the Vasicek distribution |
P |
The P parameter in the Vasicek distribution |
Value
A numeric vector with the corresponding pdf.
Examples
vsk_pdf(c(0.01, 0.02), Rho = 0.2, P = 0.3)
# [1] 0.07019659 0.22207564
Calculating the percentile point function of Vasicek
Description
The function vsk_ppf calculates the percentile point
function of Vasicek.
Usage
vsk_ppf(Alpha, Rho, P)
Arguments
Alpha |
A numeric vector of probabilities |
Rho |
The Rho parameter in the Vasicek distribution |
P |
The P parameter in the Vasicek distribution |
Value
A numeric vector with the corresponding ppf.
Examples
vsk_ppf(c(0.5, 0.9), Rho = 0.2, P = 0.3)
# [1] 0.2788378 0.5217229
Estimating Vasicek parameters by using quantile-based estimator
Description
The function vsk_qbe estimates parameters in the Vasicek
distribution by using quantile-based estimator. It is not recommended
for small sample size.
Usage
vsk_qbe(x)
Arguments
x |
A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution |
Value
A list with Vasicek parameters, namely Rho and P.
Examples
vsk_qbe(vsk_rvs(1000, Rho = 0.2, P = 0.1))
# $Rho
# [1] 0.1941091
# $P
# [1] 0.1019701
Generating random numbers for the Vasicek distribution
Description
The function vsk_rvs generates random numbers for the Vasicek
distribution.
Usage
vsk_rvs(n, Rho, P, seed = 1)
Arguments
n |
An integer for the number of observations. |
Rho |
The Rho parameter in the Vasicek distribution. It is in the range of (0, 1). |
P |
The P parameter in the Vasicek distribution. It is in the range of (0, 1). |
seed |
An integer that is used as the seed value to generate random numbers. |
Value
A list of random number that follows the Vasicek distribution.
Examples
vsk_rvs(10, Rho = 0.2, P = 0.1)