ghyp: transform-extract-methods – R documentation

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transform-extract-methods

Linear transformation and extraction of generalized hyperbolic distributions

Description

The transform function can be used to linearly transform generalized hyperbolic distribution objects (see Details). The extraction operator [ extracts some margins of a multivariate generalized hyperbolic distribution object.

Usage

## S4 method for signature 'ghyp'
transform(`_data`, summand, multiplier)

## S3 method for class 'ghyp'
x[i = c(1, 2)]

Arguments

`_data`	An object inheriting from class `ghyp`.
`summand`	A `vector`.
`multiplier`	A `vector` or a `matrix`.
`x`	A multivariate generalized hyperbolic distribution inheriting from class `ghyp`.
`i`	Index specifying which dimensions to extract.

Details

If X is GH distributed, transform gives the distribution object of “multiplier * X + summand”, where X is the argument named _data.

If the object is of class mle.ghyp, iformation concerning the fitting procedure (cf. ghyp.fit.info) will be lost as the return value is an object of class ghyp.

Value

An object of class ghyp.

Author(s)

David Luethi

Examples

## Mutivariate generalized hyperbolic distribution
  multivariate.ghyp <- ghyp(sigma=var(matrix(rnorm(9),ncol=3)), mu=1:3, gamma=-2:0)

  ## Dimension reduces to 2
  transform(multivariate.ghyp, multiplier=matrix(1:6,nrow=2), summand=10:11)

  ## Dimension reduces to 1
  transform(multivariate.ghyp, multiplier=1:3)

  ## Simple transformation
  transform(multivariate.ghyp, summand=100:102)

  ## Extract some dimension
  multivariate.ghyp[1]
  multivariate.ghyp[c(1, 3)]

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