Parameter Sets for Variance Gamma Distribution
These objects store different parameter sets of the Variance Gamma
distribution for testing or demonstrating purpose as
matrixes. Specifically, the parameter sets vgSmallShape and
vgLargeShape have constant (standard) location and spread
parameters of c=0 and sigma=1; where asymmetry
and shape parameters vary from theta=(-2, 0, 2) and
nu=(0.5, 1, 2) for vgSmallShape and
theta=(-4, -2, 0, 2, 4) and nu=(0.25, 0.5, 1,
2, 4) for vgLargeShape.
The parameter sets vgSmallParam and vgLargeParam have varied
values of all 4 parameters. vgSmallParam contains all of the parameter
combinations from c=(-2, 0, 2), sigma=(0.5, 1, 2),
theta=(-2, 0, 2) and nu=(0.5, 1, 2).
vgLargeParam contains all of the parameter combinations from
c=(-4, -2, 0, 2, 4), sigma=(0.25, 0.5, 1, 2, 4),
theta=(-4, -2, 0, 2, 4) and nu=(0.25, 0.5, 1, 2, 4).
vgSmallShape vgLargeShape vgSmallParam vgLargeParam
vgSmallShape: a 9 by 4 matrix;
vgLargeShape: a 25 by 4 matrix;
vgSmallParam: a 81 by 4 matrix;
vgLargeParam: a 625 by 4 matrix.
David Scott d.scott@auckland.ac.nz, Christine Yang Dong c.dong@auckland.ac.nz
data(vgParam)
## Testing the accuracy of vgMean
for (i in 1:nrow(vgSmallParam)) {
param <- vgSmallParam[i,]
x <- rvg(10000,param = param)
sampleMean <- mean(x)
funMean <- vgMean(param = param)
difference <- abs(sampleMean - funMean)
print(difference)
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