hyperb.change.pars {HyperbolicDist}R Documentation

Change Parameterisations of the Hyperbolic Distribution

Description

This function interchanges between the following 3 parameterisations of the Hyperbolic Distribution: 1. pi, zeta, delta, mu 2. alpha, beta, delta, mu 3. phi, gamma, delta, mu

Usage

hyperb.change.pars(from, to, theta, no.names=FALSE)

Arguments

from the set of parameters to change from
to the set of parameters to change to
theta "from" parameter vector consisting of 4 numerical elements
no.names logical; when TRUE, suppresses the parameter names in the output

Details

In the 3 parameterisations, the following must be positive: 1. zeta, delta 2. alpha, delta 3. phi, gamma, delta Furthermore, note that in the second parameterisation alpha must must be greater than the absolute value of beta.

Value

A numerical vector of length 4 representing theta in the to parameterisation.

Author(s)

David Scott d.scott@auckland.ac.nz, Jennifer Tso, Richard Trendall

References

Barndorff-Nielsen, O. and Blaesild, P (1983). Hyperbolic distributions. In Encyclopedia of Statistical Sciences, eds., Johnson, N. L., Kotz, S. and Read, C. B., Vol. 3, pp. 700–707. New York: Wiley.

See Also

dhyperb

Examples

theta1 <- c(-2,1,3,0) # Parameter vector in parameterisation 1
theta2 <- hyperb.change.pars(1,2,theta1) # Convert to parameterisation 2
theta2 # Parameter vector in parameterisation 2
hyperb.change.pars(2,1,as.numeric(theta2)) # Convert back to parameterisation 1

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