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Update SRMCappr_epsilon.r #2

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Update SRMCappr_epsilon.r #2

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4 changes: 3 additions & 1 deletion SRMCappr_epsilon/SRMCappr_epsilon.r
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Original file line number Diff line number Diff line change
Expand Up @@ -32,7 +32,7 @@ mix_cdf = function(x, index, epsilon, scale) {
if (index == "Normal") {
mix_cdf = (1 - epsilon) * pnorm(x) + epsilon * pnorm(x/scale)
} else if (index == "Laplace") {
mix_cdf = (1 - epsilon) * pnorm(x) + epsilon * plaplacex/scale)
mix_cdf = (1 - epsilon) * pnorm(x) + epsilon * plaplace(x/scale)
} else {
mix_cdf = (1 - epsilon) * pnorm(x) + epsilon * ppower(x/scale)
}
Expand Down Expand Up @@ -108,6 +108,8 @@ mix_ES_epsilon = function(epsilon, index, alpha, scale) {
# Give the theoretical values and its approximations of VaR, ES and level ratio for epsilon-contamination model at alpha level
approximation.VaR.ES.epsilon = function(epsilon, index, scale, alpha) {
Theoretical_VaR.ES.EQT = matrix(rep(1, size.epsilon * size.index * 3), nrow = size.epsilon)
size.epsilon = length(epsilon)
size.index = length(index)
Approximation_VaR.ES.EQT = matrix(rep(1, size.epsilon * size.index * 3), nrow = size.epsilon)
colnames(Theoretical_VaR.ES.EQT) = paste(c(rep("VaR of", size.index), rep("ES of",
size.index), rep("Level ratio of", size.index)), rep(index, 3))
Expand Down