GeneralizedHyperbolic (version 0.8-6)

gigParam: Parameter Sets for the Generalized Inverse Gaussian Distribution

Description

These objects store different parameter sets of the generalized inverse Gaussian distribution as matrices for testing or demonstration purposes.

The parameter sets gigSmallParam and gigLargeParam give combinations of values of the parameters \(\chi\), \(\psi\) and \(\lambda\). For gigSmallParam, the values of \(\chi\) and \(\psi\) are chosen from {0.1, 0.5, 2, 5, 20, 50}, and the values of \(\lambda\) from {-0.5, 0, 0.5, 1, 5}. For gigLargeParam, the values of \(\chi\) and \(\psi\) are chosen from {0.1, 0.2, 0.5, 1, 2, 5, 10, 20, 50, 100}, and the values of \(\lambda\) from {-2, -1, -0.5, 0, 0.1, 0.2, 0.5, 1, 2, 5, 10}.

Usage

gigSmallParam
  gigLargeParam

Format

gigSmallParam: a 125 by 3 matrix; gigLargeParam: a 1100 by 3 matrix.

Author

David Scott

Examples

data(gigParam)
## Check values of chi and psi
plot(gigLargeParam[, 1], gigLargeParam[, 2])
### Check all three parameters
pairs(gigLargeParam,
  labels = c(expression(chi),expression(psi),expression(lambda)))

## Testing the accuracy of gigMean
for (i in 1:nrow(gigSmallParam)) {
  param <- gigSmallParam[i, ]
  x <- rgig(1000, param = param)
  sampleMean <- mean(x)
  funMean <- gigMean(param = param)
  difference <- abs(sampleMean - funMean)
  print(difference)
}