GeneralizedHyperbolic (version 0.8-6)

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 Jörgensen (1982) and Dagpunar (1989)

Usage

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

Value

A numerical vector of length 3 representing param in the

“to” parameterization.

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.

Author

David Scott

Details

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

References

Jörgensen, 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

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