GeneralizedHyperbolic (version 0.8-4)

gigChangePars: Change Parameterizations of the Generalized Inverse Gaussian Distribution

Description

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<U+001B29E5>nsen (1982) and Dagpunar (1989)

Usage

gigChangePars(from, to, param, noNames = FALSE)

Arguments

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.

Value

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

Details

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

References

J<U+001B29E5>nsen, 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.

See Also

dgig

Examples

# NOT RUN {
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
# }