vgParam {VarianceGamma}R Documentation

Parameter Sets for Variance Gamma Distribution

Description

These objects store different parameter sets of the Variance Gamma distribution for testing or demonstrating purpose as matrixes. Specifically, the parameter sets smallShape and largeShape have constant (standard) location and spread parameters of c=0 and sigma=1; where asymmetry and shape parameters vary from theta=(-2, 0, 2) and nu=(0.5, 1, 2) for smallShape and theta=(-4, -2, 0, 2, 4) and nu=(0.25, 0.5, 1, 2, 4) for largeShape.

The parameter sets smallParam and largeParam have varied values of all 4 parameters. smallParam contains all of the parameter combinations from c=(-2, 0, 2), sigma=(0.5, 1, 2), theta=(-2, 0, 2) and nu=(0.5, 1, 2). largeParam contains all of the parameter combinations from c=(-4, -2, 0, 2, 4), sigma=(0.25, 0.5, 1, 2, 4), theta=(-4, -2, 0, 2, 4) and nu=(0.25, 0.5, 1, 2, 4).

Usage

  smallShape
  largeShape
  smallParam
  largeParam  

Format

smallShape: a 9 by 4 matrix; largeShape: a 25 by 4 matrix; smallParam: a 81 by 4 matrix; largeParam: a 625 by 4 matrix.

Author(s)

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

Examples

data(vgParam)
## Testing the accuracy of vgMean  
for (i in 1:nrow(smallParam)) {
    param <- smallParam[i,]  
    x <- rvg(10000,param = param)             
    sampleMean <- mean(x)
    funMean <- vgMean(param = param)
    difference <- abs(sampleMean - funMean) 
    print(difference)
}


[Package VarianceGamma version 0.1-2 Index]