gigChangePars: Change Parameterizations of the Generalized Inverse Gaussian...

In GeneralizedHyperbolic: The Generalized Hyperbolic Distribution

Change Parameterizations of the Generalized Inverse Gaussian Distribution

Description

This function interchanges between the following 4 parameterizations of the generalized inverse Gaussian distribution:

1. (\chi, \psi, \lambda)

2. (\delta, \gamma, \lambda)

3. (\alpha, \beta, \lambda)

4. (\omega, \eta, \lambda)

See Jörgensen (1982) and Dagpunar (1989)

Usage

gigChangePars(from, to, param, noNames = FALSE)

Arguments

from	The set of parameters to change from.
to	The set of parameters to change to.
param	“from” parameter vector consisting of 3 numerical elements.
noNames	Logical. When TRUE, suppresses the parameter names in the output.

Details

The range of \lambda is the whole real line. In each parameterization, the other two parameters must take positive values.

Value

A numerical vector of length 3 representing param in the “to” parameterization.

Author(s)

David Scott [e-mail]

References

Jörgensen, B. (1982). Statistical Properties of the Generalized Inverse Gaussian Distribution. Lecture Notes in Statistics, Vol. 9, Springer-Verlag, New York.

Dagpunar, J. S. (1989). An easily implemented generalised inverse Gaussian generator, Commun. Statist.—Simula., 18, 703–710.

See Also

dgig

Examples

param1 <- c(2.5, 0.5, 5)                # Parameterisation 1
param2 <- gigChangePars(1, 2, param1)   # Convert to parameterization 2
param2                                  # Parameterization 2
gigChangePars(2, 1, as.numeric(param2)) # Convert back to parameterization 1

GeneralizedHyperbolic documentation built on Nov. 26, 2023, 5:07 p.m.