1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151
|
\name{gh}
\alias{gh}
\alias{dgh}
\alias{pgh}
\alias{qgh}
\alias{rgh}
\title{Generalized Hyperbolic Distribution}
\description{
Calculates moments of the generalized hyperbbolic
distribution function.
}
\usage{
dgh(x, alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2, log = FALSE)
pgh(q, alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2)
qgh(p, alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2)
rgh(n, alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2)
}
\arguments{
\item{alpha, beta, delta, mu, lambda}{
numeric values.
\code{alpha} is the first shape parameter;
\code{beta} is the second shape parameter in the range \code{(0, alpha)};
\code{delta} is the scale parameter, must be zero or positive;
\code{mu} is the location parameter, by default 0; and
\code{lambda} defines the sublclass, by default -1/2.
These are the meanings of the parameters in the first
parameterization \code{pm=1} which is the default
parameterization.
In the second parameterization, \code{pm=2} \code{alpha}
and \code{beta} take the meaning of the shape parameters
(usually named) \code{zeta} and \code{rho}.
In the third parameterization, \code{pm=3} \code{alpha}
and \code{beta} take the meaning of the shape parameters
(usually named) \code{xi} and \code{chi}.
In the fourth parameterization, \code{pm=4} \code{alpha}
and \code{beta} take the meaning of the shape parameters
(usually named) \code{a.bar} and \code{b.bar}.
}
\item{log}{
a logical flag by default \code{FALSE}.
Should labels and a main title drawn to the plot?
}
\item{n}{
number of observations.
}
\item{p}{
a numeric vector of probabilities.
}
\item{x, q}{
a numeric vector of quantiles.
}
\item{\dots}{
arguments to be passed to the function \code{integrate}.
}
}
\value{
All values for the \code{*gh} functions are numeric vectors:
\code{d*} returns the density,
\code{p*} returns the distribution function,
\code{q*} returns the quantile function, and
\code{r*} generates random deviates.
All values have attributes named \code{"param"} listing
the values of the distributional parameters.
}
\details{
The generator \code{rgh} is based on the GH algorithm given
by Scott (2004).
}
\references{
Atkinson, A.C. (1982);
\emph{The simulation of generalized inverse Gaussian and hyperbolic
random variables},
SIAM J. Sci. Stat. Comput. 3, 502--515.
Barndorff-Nielsen O. (1977);
\emph{Exponentially decreasing distributions for the logarithm of
particle size},
Proc. Roy. Soc. Lond., A353, 401--419.
Barndorff-Nielsen O., Blaesild, P. (1983);
\emph{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.
Raible S. (2000);
\emph{Levy Processes in Finance: Theory, Numerics and Empirical Facts},
PhD Thesis, University of Freiburg, Germany, 161 pages.
}
\author{
David Scott for code implemented from \R's
contributed package \code{HyperbolicDist}.
}
\examples{
## rgh -
set.seed(1953)
r = rgh(5000, alpha = 1, beta = 0.3, delta = 1)
plot(r, type = "l", col = "steelblue",
main = "gh: alpha=1 beta=0.3 delta=1")
## dgh -
# Plot empirical density and compare with true density:
hist(r, n = 25, probability = TRUE, border = "white", col = "steelblue")
x = seq(-5, 5, 0.25)
lines(x, dgh(x, alpha = 1, beta = 0.3, delta = 1))
## pgh -
# Plot df and compare with true df:
plot(sort(r), (1:5000/5000), main = "Probability", col = "steelblue")
lines(x, pgh(x, alpha = 1, beta = 0.3, delta = 1))
## qgh -
# Compute Quantiles:
qgh(pgh(seq(-5, 5, 1), alpha = 1, beta = 0.3, delta = 1),
alpha = 1, beta = 0.3, delta = 1)
}
\keyword{distribution}
|