gigChangePars: Change Parameterizations of the Generalized Inverse Gaussian...
In sjp/GeneralizedHyperbolic: The generalized hyperbolic distribution

Description Usage Arguments Details Value Author(s) References See Also Examples

This function interchanges between the following 4 parameterizations of the generalized inverse Gaussian distribution:

1. (chi, psi, lambda)

2. (delta, gamma, lambda)

3. (alpha, beta, lambda)

4. (omega, eta, lambda)

See J<c3><b6>rgensen (1982) and Dagpunar (1989)

1	gigChangePars(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 3 numerical elements.
`noNames`	Logical. When `TRUE`, suppresses the parameter `names` in the output.

The range of lambda is the whole real line. In each parameterization, the other two parameters must take positive values.

A numerical vector of length 3 representing param in the “to” parameterization.

David Scott d.scott@auckland.ac.nz

J<c3><b6>rgensen, B. (1982). Statistical Properties of the Generalized Inverse Gaussian Distribution. Lecture Notes in Statistics, Vol. 9, Springer-Verlag, New York.

Dagpunar, J. S. (1989). An easily implemented generalised inverse Gaussian generator, Commun. Statist.—Simula., 18, 703–710.

dgig

param1 <- c(2.5, 0.5, 5)               # Parameterisation 1
param2 <- gigChangePars(1, 2, param1)   # Convert to parameterization 2
param2                                  # Parameterization 2
gigChangePars(2, 1, as.numeric(param2)) # Convert back to parameterization 1