rGHD: Pseudo random number generation from a generalized hyperbolic...

In MixGHD: Model Based Clustering, Classification and Discriminant Analysis Using the Mixture of Generalized Hyperbolic Distributions

Pseudo random number generation from a generalized hyperbolic distribution (GHD).

Description

Generate n pseudo random numbers from a p dimensional generalized hyperbolic distribution.

Usage

rGHD(n,p, mu=rep(0,p),alpha=rep(0,p),sigma=diag(p),omega=1,lambda=0.5)

Arguments

n	number of observations.
p	number of variables.
mu	(optional) the p dimensional mean
alpha	(optional) the p dimensional skewness parameter alpha
sigma	(optional) the p x p dimensional scale matrix
omega	(optional) the unidimensional concentration parameter omega
lambda	(optional) the unidimensional index parameter lambda

Details

The default values are: 0 for the mean and the skweness parameter alpha, diag(p) for sigma, 1 for omega, and 0.5 for lambda.

Value

A n times p matrix of numbers psudo randomly generated from a generilzed hyperbolic distribution

Author(s)

Cristina Tortora, Aisha ElSherbiny, Ryan P. Browne, Brian C. Franczak, and Paul D. McNicholas. Maintainer: Cristina Tortora <[e-mail]>

References

R.P. Browne, and P.D. McNicholas (2015). A Mixture of Generalized Hyperbolic Distributions. Canadian Journal of Statistics, 43.2 176-198

Examples

data=rGHD(300,2,alpha=c(2,-2))

plot(data)

MixGHD documentation built on May 11, 2022, 5:12 p.m.