ghyp-get: Get methods for objects inheriting from class ghyp

In ghyp: Generalized Hyperbolic Distribution and Its Special Cases

Get methods for objects inheriting from class ghyp

Description

These functions simply return data stored within generalized hyperbolic distribution objects, i.e. slots of the classes ghyp and mle.ghyp. ghyp.fit.info extracts information about the fitting procedure from objects of class mle.ghyp. ghyp.data returns the data slot of a gyhp object. ghyp.dim returns the dimension of a gyhp object. ghyp.name returns the name of the distribution of a gyhp object.

Usage

ghyp.fit.info(object)

ghyp.data(object)

ghyp.name(object, abbr = FALSE, skew.attr = TRUE)

ghyp.dim(object)

Arguments

object	An object inheriting from class ghyp.
abbr	If TRUE the abbreviation of the ghyp distribution will be returned.
skew.attr	If TRUE an attribute will be added to the name of the ghyp distribution stating whether the distribution is symmetric or not.

Value

ghyp.fit.info returns list with components:

logLikelihood	The maximized log-likelihood value.
aic	The Akaike information criterion.
fitted.params	A boolean vector stating which parameters were fitted.
converged	A boolean whether optim converged or not.
n.iter	The number of iterations.
error.code	Error code from optim.
error.message	Error message from optim.
parameter.variance	Parameter variance (only for univariate fits).
trace.pars	Trace values of the parameters during the fitting procedure.

ghyp.data returns NULL if no data is stored within the object, a vector if it is an univariate generalized hyperbolic distribution and matrix if it is an multivariate generalized hyperbolic distribution.

ghyp.name returns the name of the ghyp distribution which can be the name of a special case. Depending on the arguments abbr and skew.attr one of the following is returned.

abbr == FALSE & skew.attr == TRUE	abbr == TRUE & skew.attr == TRUE
(A)symmetric Generalized Hyperbolic	(A)symm ghyp
(A)symmetric Hyperbolic	(A)symm hyp
(A)symmetric Normal Inverse Gaussian	(A)symm NIG
(A)symmetric Variance Gamma	(A)symm VG
(A)symmetric Student-t	(A)symm t
Gaussian	Gauss
abbr == FALSE & skew.attr == FALSE	abbr == TRUE & skew.attr == FALSE
Generalized Hyperbolic	ghyp
Hyperbolic	hyp
Normal Inverse Gaussian	NIG
Variance Gamma	VG
Student-t	t
Gaussian	Gauss

ghyp.dim returns the dimension of a ghyp object.

Note

ghyp.fit.info requires an object of class mle.ghyp. In the univariate case the parameter variance is returned as well. The parameter variance is defined as the inverse of the negative hesse-matrix computed by optim. Note that this makes sense only in the case that the estimates are asymptotically normal distributed.

The class ghyp contains a data slot. Data can be stored either when an object is initialized or via the fitting routines and the argument save.data.

Author(s)

David Luethi

See Also

coef, mean, vcov, logLik, AIC for other accessor functions, fit.ghypmv, fit.ghypuv, ghyp for constructor functions, optim for possible error messages.

Examples

  ## multivariate generalized hyperbolic distribution
  ghyp.mv <- ghyp(lambda = 1, alpha.bar = 0.1, mu = rep(0, 2), sigma = diag(rep(1, 2)),
                  gamma = rep(0, 2), data = matrix(rt(1000, df = 4), ncol = 2))

  ## Get data
  ghyp.data(ghyp.mv)

  ## Get the dimension
  ghyp.dim(ghyp.mv)

  ## Get the name of the ghyp object
  ghyp.name(ghyp(alpha.bar = 0))
  ghyp.name(ghyp(alpha.bar = 0, lambda = -4), abbr = TRUE)

  ## 'ghyp.fit.info' does only work when the object is of class 'mle.ghyp',
  ## i.e. is created by 'fit.ghypuv' etc.
  mv.fit <- fit.tmv(data = ghyp.data(ghyp.mv), control = list(abs.tol = 1e-3))
  ghyp.fit.info(mv.fit)

ghyp documentation built on Aug. 21, 2023, 5:12 p.m.