rPiecewisePareto function

Simulation of the Piecewise Pareto Distribution

Generates random deviates of a piecewise Pareto distribution

rPiecewisePareto(
  n,
  t,
  alpha,
  truncation = NULL,
  truncation_type = "lp",
  scale_pieces = NULL
)

Arguments

• n: Numeric. Number of simulations
• t: Numeric vector. Thresholds of the piecewise Pareto distribution.
• alpha: Numeric vector. alpha[i] is the Pareto alpha in excess of t[i].
• truncation: Numeric. If truncation is not NULL and truncation > t, then the distribution is truncated at truncation.
• truncation_type: Character. If truncation_type = "wd" then the whole distribution is truncated. If truncation_type = "lp" then a truncated Pareto is used for the last piece.
• scale_pieces: Numeric vector. If not NULL then the density of the i-th Pareto piece (on the interval (t[i], t[i+1])) is scaled with the factor const * scale_pieces[i] (where const is a normalization constant)

Returns

A vector of n samples from the (truncated) piecewise Pareto distribution with parameter vectors t and alpha

Examples

t <- c(1000, 2000, 3000)
alpha <- c(1, 1.5, 2)
rPiecewisePareto(100, t, alpha)
rPiecewisePareto(100, t, alpha, truncation = 5000)
rPiecewisePareto(100, t, alpha, truncation = 5000, truncation_type = "lp")
rPiecewisePareto(100, t, alpha, truncation = 5000, truncation_type = "wd")