vgChangePars | R Documentation |
This function interchanges between the following 4 parameterizations of the variance gamma distribution:
1. c, \sigma, \theta, \nu
2. \theta, \sigma, \mu, \tau
3. \theta, \sigma, \kappa, \tau
4. \lambda, \alpha, \beta, \mu
The first set of parameterizations is given in Seneta (2004). The second and
third ones are the parameterizations given in Kotz et al
. (2001). The
last set takes the form of the generalized hyperbolic distribution
parameterization. \delta
is not included since the
variance gamma distribution is a limiting case of generalized
hyperbolic distribution with \delta
always equal to 0.
vgChangePars(from, to, param, noNames = FALSE)
from |
The set of parameters to change from. |
to |
The set of parameters to change to. |
param |
"from" parameter vector consisting of 4 numerical elements. |
noNames |
Logical. When |
In the 3 parameterizations, the following must be positive:
1. \sigma, \nu
2. \sigma, \tau
3. \sigma, \tau
4. \lambda, \alpha
In addition in the 4th parameterization, the absolute value of
\beta
must be less than \alpha
.
A numerical vector of length 4 representing param
in the
to
parameterization.
David Scott d.scott@auckland.ac.nz, Christine Yang Dong c.dong@auckland.ac.nz
Seneta, E. (2004). Fitting the variance-gamma model to financial data. J. Appl. Prob., 41A:177–187. Kotz, S, Kozubowski, T. J., and Podgórski, K. (2001). The Laplace Distribution and Generalizations. Birkhauser, Boston, 349 p.
dvg
, vgMom
param1 <- c(2,2,1,3) # Parameterization 1
param2 <- vgChangePars(1, 2, param1) # Convert to parameterization 2
param2 # Parameterization 2
vgChangePars(2, 1, as.numeric(param2)) # Convert back to parameterization 1
param3 <- c(1,2,0,0.5) # Parameterization 3
param1 <- vgChangePars(3, 1, param3) # Convert to parameterization 1
param1 # Parameterization 1
vgChangePars(1, 3, as.numeric(param1)) # Convert back to parameterization 3
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