MixGHD (version 2.3.7)

rGHD: Pseudo random number generation from a generalized hyperbolic distribution (GHD).

Description

Generate n pseudo random numbers from a p dimensional generalized hyperbolic distribution.

Usage

rGHD(n,p, mu=rep(0,p),alpha=rep(0,p),sigma=diag(p),omega=1,lambda=0.5)

Arguments

n

number of observations.

p

number of variables.

mu

(optional) the p dimensional mean

alpha

(optional) the p dimensional skewness parameter alpha

sigma

(optional) the p x p dimensional scale matrix

omega

(optional) the unidimensional concentration parameter omega

lambda

(optional) the unidimensional index parameter lambda

Value

A n times p matrix of numbers psudo randomly generated from a generilzed hyperbolic distribution

Details

The default values are: 0 for the mean and the skweness parameter alpha, diag(p) for sigma, 1 for omega, and 0.5 for lambda.

References

R.P. Browne, and P.D. McNicholas (2015). A Mixture of Generalized Hyperbolic Distributions. Canadian Journal of Statistics, 43.2 176-198

Examples

# NOT RUN {
data=rGHD(300,2,alpha=c(2,-2))

plot(data)
# }