vgParam: Parameter Sets for Variance Gamma Distribution

In VarianceGamma: The Variance Gamma Distribution

Parameter Sets for Variance Gamma Distribution

Description

These objects store different parameter sets of the Variance Gamma distribution for testing or demonstrating purpose as matrixes. Specifically, the parameter sets vgSmallShape and vgLargeShape have constant (standard) location and spread parameters of c=0 and \sigma=1; where asymmetry and shape parameters vary from \theta=(-2, 0, 2) and \nu=(0.5, 1, 2) for vgSmallShape and \theta=(-4, -2, 0, 2, 4) and \nu=(0.25, 0.5, 1, 2, 4) for vgLargeShape.

The parameter sets vgSmallParam and vgLargeParam have varied values of all 4 parameters. vgSmallParam contains all of the parameter combinations from c=(-2, 0, 2), \sigma=(0.5, 1, 2), \theta=(-2, 0, 2) and \nu=(0.5, 1, 2). vgLargeParam contains all of the parameter combinations from c=(-4, -2, 0, 2, 4), \sigma=(0.25, 0.5, 1, 2, 4), \theta=(-4, -2, 0, 2, 4) and \nu=(0.25, 0.5, 1, 2, 4).

Usage

  data(vgParam)

Format

vgSmallShape: a 9 by 4 matrix; vgLargeShape: a 25 by 4 matrix; vgSmallParam: a 81 by 4 matrix; vgLargeParam: a 625 by 4 matrix.

Author(s)

David Scott [e-mail], Christine Yang Dong [e-mail]

Examples

data(vgParam)
## Testing the accuracy of vgMean
for (i in 1:nrow(vgSmallParam)) {
    param <- vgSmallParam[i,]
    x <- rvg(10000,param = param)
    sampleMean <- mean(x)
    funMean <- vgMean(param = param)
    difference <- abs(sampleMean - funMean)
    print(difference)
}

VarianceGamma documentation built on Nov. 26, 2023, 3:01 p.m.