ghyp-get: Get methods for objects inheriting from class ghyp

Description

These functions simply return data stored within generalized hyperbolic distribution objects, i.e. slots of the classes ghyp and mle.ghyp. ghyp.fit.info extracts information about the fitting procedure from objects of class mle.ghyp. ghyp.data returns the data slot of a gyhp object. ghyp.dim returns the dimension of a gyhp object. ghyp.name returns the name of the distribution of a gyhp object.

Usage

ghyp.fit.info(object)
ghyp.data(object)
ghyp.name(object, abbr = FALSE, skew.attr = TRUE)
ghyp.dim(object)

Value

ghyp.fit.info returns list with components:

`logLikelihood`	The maximized log-likelihood value.
`aic`	The Akaike information criterion.
`fitted.params`	A boolean vector stating which parameters were fitted.
`converged`	A boolean whether `optim` converged or not.
`n.iter`	The number of iterations.
`error.code`	Error code from `optim`.
`error.message`	Error message from `optim`.
`parameter.variance`	Parameter variance (only for univariate fits).
`trace.pars`	Trace values of the parameters during the fitting procedure.

ghyp.data returns NULL if no data is stored within the object, a vector if it is an univariate generalized hyperbolic distribution and matrix if it is an multivariate generalized hyperbolic distribution.

ghyp.name returns the name of the ghyp distribution which can be the name of a special case. Depending on the arguments abbr and skew.attr one of the following is returned.

`abbr == FALSE & skew.attr == TRUE`	`abbr == TRUE & skew.attr == TRUE`
(A)symmetric Generalized Hyperbolic	(A)symm ghyp
(A)symmetric Hyperbolic	(A)symm hyp
(A)symmetric Normal Inverse Gaussian	(A)symm NIG
(A)symmetric Variance Gamma	(A)symm VG
(A)symmetric Student-t	(A)symm t
Gaussian	Gauss
`abbr == FALSE & skew.attr == FALSE`	`abbr == TRUE & skew.attr == FALSE`
Generalized Hyperbolic	ghyp
Hyperbolic	hyp
Normal Inverse Gaussian	NIG
Variance Gamma	VG
Student-t	t
Gaussian	Gauss

ghyp.dim returns the dimension of a ghyp object.

Arguments

object: An object inheriting from class ghyp.
abbr: If TRUE the abbreviation of the ghyp distribution will be returned.
skew.attr: If TRUE an attribute will be added to the name of the ghyp distribution stating whether the distribution is symmetric or not.

Author

David Luethi

Examples

Run this code

  ## multivariate generalized hyperbolic distribution
  ghyp.mv <- ghyp(lambda = 1, alpha.bar = 0.1, mu = rep(0, 2), sigma = diag(rep(1, 2)),
                  gamma = rep(0, 2), data = matrix(rt(1000, df = 4), ncol = 2))

  ## Get data
  ghyp.data(ghyp.mv)

  ## Get the dimension
  ghyp.dim(ghyp.mv)

  ## Get the name of the ghyp object
  ghyp.name(ghyp(alpha.bar = 0))
  ghyp.name(ghyp(alpha.bar = 0, lambda = -4), abbr = TRUE)

  ## 'ghyp.fit.info' does only work when the object is of class 'mle.ghyp',
  ## i.e. is created by 'fit.ghypuv' etc.
  mv.fit <- fit.tmv(data = ghyp.data(ghyp.mv), control = list(abs.tol = 1e-3))
  ghyp.fit.info(mv.fit)