Description Usage Arguments Details Value Author(s) References See Also Examples
View source: R/ghypChangePars.R
This function interchanges between the following 4 parameterizations of the generalized hyperbolic distribution:
1. mu, delta, alpha, beta, lambda
2. mu, delta, zeta, rho, lambda
3. mu, delta, xi, chi, lambda
4. mu, delta, alpha bar, beta bar, lambda
These are the parameterizations given in Prause (1999)
1 | ghypChangePars(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 5 numerical elements. |
noNames |
Logical. When |
In the 4 parameterizations, the following must be positive:
1. alpha, delta
2. zeta, delta
3. xi, delta
4. alpha bar, delta
Furthermore, note that in the first parameterization alpha must be greater than the absolute value of beta; in the third parameterization, xi must be less than one, and the absolute value of chi must be less than xi; and in the fourth parameterization, alpha bar must be greater than the absolute value of beta bar.
A numerical vector of length 5 representing param
in the
to
parameterization.
David Scott d.scott@auckland.ac.nz, Jennifer Tso, Richard Trendall
Barndorff-Nielsen, O. and Bl<c3><a6>sild, P. (1983). Hyperbolic distributions. In Encyclopedia of Statistical Sciences, eds., Johnson, N. L., Kotz, S. and Read, C. B., Vol. 3, pp. 700–707. New York: Wiley.
Prause, K. (1999) The generalized hyperbolic models: Estimation, financial derivatives and risk measurement. PhD Thesis, Mathematics Faculty, University of Freiburg.
1 2 3 4 | param1 <- c(0, 3, 2, 1, 2) # Parameterization 1
param2 <- ghypChangePars(1, 2, param1) # Convert to parameterization 2
param2 # Parameterization 2
ghypChangePars(2, 1, as.numeric(param2)) # Convert back to parameterization 1
|
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