VarianceGamma (version 0.1-2)

vgParam: 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.

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)
}