survival.R

demoguy — Jun 13, 2012, 11:08 AM

#Fig 2.11
#Comparison on normal and heavy-tailed distributions


#Pareto Parameters
c <- 0.25
a <- 1.1

sigma <- 0.3113
normp <- 1/(1-pnorm(c, 0, sigma))
lamda <- c/a
expp <- 1/exp(-c/lamda)

N <- 100

t <- seq(c, 4, length.out=N)
pCDF <- (c/t)^a
nCDF <- (1 - pnorm(t, 0, sigma)) * normp
eCDF <- exp(-t / lamda) * expp

plot(t, pCDF, type='l', main="Survival Functions", 
     xlab="x", ylab="1-F(x)")
lines(t, nCDF, lty=2)
lines(t, eCDF, lty=3)
legend(3, 0.93, c("Pareto", "Normal", "Exp"), 
       col = c(3, 4, 6), text.col= "green4", 
       lty = c(1, 2, 3), merge = TRUE, bg='gray90')