nig.parameter: Generate Parameters for the Normal Inverse Gaussian (NIG)...

View source: R/nig.parameter.R

nig.parameterR Documentation

Generate Parameters for the Normal Inverse Gaussian (NIG) Distribution

Description

Produce four parameters, alpha (tail heavyness), beta (asymmetry), delta (scale), and mu (location) from the four variables: mean, variance, kurtosis, and skewness.

Usage

nig.parameter(
  mean = mean,
  variance = variance,
  kurtosis = kurtosis,
  skewness = skewness
)

Arguments

mean

mean of the NIG distribution.

variance

variance of the NIG distribution.

kurtosis

excess kurtosis of the NIG distribution.

skewness

skewness of the NIG distribution.

Details

The parameters are generated with three conditions: 1) 3\times kurtosis > 5\times skewness^2; 2) skewness > 0, and 3) variance > 0. See \insertCiteAtkinson_1982;textuallawstat, \insertCiteBarndorffNielsen_Blaesild_1983;textuallawstat, and \insertCiteNoguchi_Gel_2010;textuallawstat.

Value

A list with the following numeric components:

alpha

tail-heavyness parameter of the NIG distribution.

beta

asymmetry parameter of the NIG distribution.

delta

scale parameter of the NIG distribution.

mu

location parameter of the NIG distribution.

Author(s)

Kimihiro Noguchi, Yulia R. Gel

References

\insertAllCited

See Also

rnig

Examples

library(fBasics)
test <- nig.parameter(0, 2, 5, 1)
random <- rnig(1000000, alpha = test$alpha, beta = test$beta, 
               mu = test$mu, delta = test$delta)
mean(random)
var(random)
kurtosis(random)
skewness(random)


lawstat documentation built on April 6, 2023, 1:06 a.m.