UniUnmapParameters: Unmapping function for univariate distributions, i.e. inverse...

In GAS: Generalized Autoregressive Score Models

Unmapping function for univariate distributions, i.e. inverse of UniMapParameters

Description

Transform distribution parameters into the unrestricted parameters. The unrestricted vector of parameters is updated using the GAS recursion.

Usage

UniUnmapParameters(Theta, Dist)

Arguments

Theta	numeric Vector of parameters, see Details.
Dist	character Label of the conditional distribution, see DistInfo.

Details

The order of the parameters is generally: location, scale, skewness, shape, shape2. When the distribution defined by Dist does not have, say, the shape parameter, this should be simply omitted. See also DistInfo for specific distributions.

Value

A numeric vector of parameters.

Author(s)

Leopoldo Catania

Examples

# Unmap parameters for the Student-t distribution
library("GAS")

Dist = "std"

# Vector of parameters such that,
# Theta = c(0, 1.5 ,7), i.e., location = 0, scale = 1.5,
# degrees of freedom = 7.

Theta = c(0.1, 1.5, 7)

Theta_tilde = UniUnmapParameters(Theta, Dist)

Theta_tilde

# It works.
all(abs(UniMapParameters(Theta_tilde, Dist) - Theta) < 1e-16)

GAS documentation built on Sept. 11, 2024, 8:13 p.m.