ghyp: coef-method – R documentation

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coef-method

Extract parameters of generalized hyperbolic distribution objects

Description

The function coef returns the parameters of a generalized hyperbolic distribution object as a list. The user can choose between the “chi/psi”, the “alpha.bar” and the “alpha/delta” parametrization. The function coefficients is a synonym for coef.

Usage

## S4 method for signature 'ghyp'
coef(object, type = c("chi.psi", "alpha.bar", "alpha.delta"))

## S4 method for signature 'ghyp'
coefficients(object, type = c("chi.psi", "alpha.bar", "alpha.delta"))

Arguments

`object`	An object inheriting from class `ghyp`.
`type`	According to `type` the parameters of either the “chi/psi”, the “alpha.bar” or the “alpha/delta” parametrization will be returned. If `type` is missing, the parameters belonging to the parametrization of the construction are returned.

Details

Internally, the “chi/psi” parametrization is used. However, fitting is only possible in the “alpha.bar” parametrization as it provides the most convenient parameter constraints.

Value

If type is “chi.psi” a list with components:

`lambda`	Shape parameter.
`chi`	Shape parameter.
`psi`	Shape parameters.
`mu`	Location parameter.
`sigma`	Dispersion parameter.
`gamma`	Skewness parameter.

If type is “alpha.bar” a list with components:

`lambda`	Shape parameter.
`alpha.bar`	Shape parameter.
`mu`	Location parameter.
`sigma`	Dispersion parameter.
`gamma`	Skewness parameter.

If type is “alpha.delta” a list with components:

`lambda`	Shape parameter.
`alpha`	Shape parameter.
`delta`	Shape parameter.
`mu`	Location parameter.
`Delta`	Dispersion matrix with a determinant of 1 (only returned in the multivariate case).
`beta`	Shape and skewness parameter.

Note

A switch from either the “chi/psi” to the “alpha.bar” or from the “alpha/delta” to the “alpha.bar” parametrization is not yet possible.

Author(s)

David Luethi

Examples

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 parameters
  coef(ghyp.mv, type = "alpha.bar")
  coefficients(ghyp.mv, type = "chi.psi")

  ## Simple modification (do not modify slots directly e.g. object@mu <- 0:1)
  param <- coef(ghyp.mv, type = "alpha.bar")
  param$mu <- 0:1
  do.call("ghyp", param) # returns a new 'ghyp' object

ghyp

Generalized Hyperbolic Distribution and Its Special Cases

v1.6.1

GPL (>= 2)

Authors

Marc Weibel, David Luethi, Wolfgang Breymann

Initial release

2020-04-27