vgChangePars {VarianceGamma}R Documentation

Change Parameterizations of the Variance Gamma Distribution

Description

This function interchanges between the following 3 parameterizations of the variance gamma distribution:

1. c,sigma,theta,nu

2. theta,sigma,mu,tau

3. theta,sigma,kappa,tau

The first set of parameterizations are given in Seneta (2004). The other two are the parameterizations given in Kotz et al. (2001).

Usage

vgChangePars(from, to, param, noNames = FALSE)

Arguments

from The set of parameters to change from.
to The set of parameters to change to.
param "from" parameter vector consisting of 4 numerical elements.
noNames Logical. When TRUE, suppresses the parameter names in the output.

Details

In the 3 parameterizations, the following must be positive:

1. sigma, nu

2. sigma, tau

3. sigma, tau

Value

A numerical vector of length 4 representing param in the to parameterization.

Author(s)

David Scott d.scott@auckland.ac.nz, Christine Yang Dong

References

Seneta, E. (2004). Fitting the variance-gamma model to financial data. J. Appl. Prob., 41A:177–187. Kotz, S, Kozubowski, T. J., and Podgórski, K. (2001). The Laplace Distribution and Generalizations. Birkhauser, Boston, 349 p.

See Also

dvg

Examples

param1 <- c(2,2,1,3)                   # Parameterization 1
param2 <- vgChangePars(1, 2, param1)   # Convert to parameterization 2
param2                                 # Parameterization 2
vgChangePars(2, 1, as.numeric(param2)) # Convert back to parameterization 1

param3 <- c(1,2,0,0.5)                 # Parameterization 3
param1 <- vgChangePars(3, 1, param3)   # Convert to parameterization 1
param1                                 # Parameterization 1    
vgChangePars(1, 3, as.numeric(param1)) # Convert back to parameterization 3

[Package VarianceGamma version 0.1-2 Index]