R: Parameter Sets for the Generalized Hyperbolic Distribution
ghypParam
R Documentation
Parameter Sets for the Generalized Hyperbolic Distribution
Description
These objects store different parameter sets of the generalized
hyperbolic distribution as matrices for testing or demonstration
purposes.
The parameter sets ghypSmallShape and
ghypLargeShape have a constant location parameter of
mu = 0, and constant scale parameter delta =
1. In ghypSmallParam and ghypLargeParam the values of
the location and scale parameters vary. In these parameter sets the
location parameter mu = 0 takes values from {0, 1} and
{-1, 0, 1, 2} respectively. For the scale parameter
delta, values are drawn from {1, 5} and {1, 2, 5,
10} respectively.
For the shape parameters alpha and beta the
approach is more complex. The values for these shape parameters were
chosen by choosing values of xi and chi which
range over the shape triangle, then the function ghypChangePars
was applied to convert them to the alpha, beta
parameterization. See the examples for the values of xi and
chi for the large parameter sets.
The values of lambda are drawn from {-0.5, 0, 1} in
ghypSmallShape and {-1, -0.5, 0, 0.5, 1, 2} in
ghypLargeShape.