Expected value and variance {ghyp} | R Documentation |
The function mean
returns the expected value. The function vcov
returns
the variance in the univariate case and the variance-covariance matrix in the
multivariate case.
## S4 method for signature 'ghypbase': mean(x) ## S4 method for signature 'ghypbase': vcov(object)
x, object |
An object inheriting from class
ghypbase . |
Either the expected value or the variance.
David Lüthi
ghyp
, ghypbase-class
, Egig
to
compute the expected value and the variance of the generalized inverse gaussian distributed
mixing variable.
## Univariate: Parametric vg.dist <- VG(lambda=1.10,mu=10,sigma=10,gamma=2) mean(vg.dist) vcov(vg.dist) ## Univariate: Empirical vg.sim <- rghyp(10000,vg.dist) mean(vg.sim) var(vg.sim) ## Multivariate: Parametric vg.dist <- VG(lambda=.10,mu=c(55,33),sigma=diag(c(22,888)),gamma=1:2) mean(vg.dist) vcov(vg.dist) ## Multivariate: Empirical vg.sim <- rghyp(10000,vg.dist) colMeans(vg.sim) var(vg.sim)