gigParam: Parameter Sets for the Generalized Inverse Gaussian...

In GeneralizedHyperbolic: The Generalized Hyperbolic Distribution

Parameter Sets for the Generalized Inverse Gaussian Distribution

Description

These objects store different parameter sets of the generalized inverse Gaussian distribution as matrices for testing or demonstration purposes.

The parameter sets gigSmallParam and gigLargeParam give combinations of values of the parameters \chi, \psi and \lambda. For gigSmallParam, the values of \chi and \psi are chosen from {0.1, 0.5, 2, 5, 20, 50}, and the values of \lambda from {-0.5, 0, 0.5, 1, 5}. For gigLargeParam, the values of \chi and \psi are chosen from {0.1, 0.2, 0.5, 1, 2, 5, 10, 20, 50, 100}, and the values of \lambda from {-2, -1, -0.5, 0, 0.1, 0.2, 0.5, 1, 2, 5, 10}.

Usage

  gigSmallParam
  gigLargeParam

Format

gigSmallParam: a 125 by 3 matrix; gigLargeParam: a 1100 by 3 matrix.

Author(s)

David Scott [e-mail]

Examples

data(gigParam)
## Check values of chi and psi
plot(gigLargeParam[, 1], gigLargeParam[, 2])
### Check all three parameters
pairs(gigLargeParam,
  labels = c(expression(chi),expression(psi),expression(lambda)))

## Testing the accuracy of gigMean
for (i in 1:nrow(gigSmallParam)) {
  param <- gigSmallParam[i, ]
  x <- rgig(1000, param = param)
  sampleMean <- mean(x)
  funMean <- gigMean(param = param)
  difference <- abs(sampleMean - funMean)
  print(difference)
}

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