Change Parameterizations of the Generalized Inverse Gaussian Distribution
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)
gigChangePars(from, to, param, noNames = FALSE)
from |
The set of parameters to change from. |
to |
The set of parameters to change to. |
param |
“ |
noNames |
Logical. When |
The range of lambda is the whole real line. In each parameterization, the other two parameters must take positive values.
A numerical vector of length 3 representing param in the
“to” parameterization.
David Scott d.scott@auckland.ac.nz
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.
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
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