ghyp (version 1.1.0)

transform-extract-methods: Linear transformation and extraction of generalized hyperbolic distributions

Description

This function may be useful when generalized hyperbolic distribution objects should be linearly transformed (`data` * multiplier + summand). A generalized hyperbolic distribution object will be returned.

Usage

## S3 method for class 'ghyp':
transform(`_data`, summand, multiplier)
## S3 method for class 'ghyp':
[(x, i = c(1, 2))

Arguments

_data

An object inheriting from class ghyp.

summand

A vector.

multiplier

A vector or a matrix.

x

A multivariate generalized hyperbolic distribution inheriting from class ghyp.

i

Index specifying which dimensions to extract.

...

Arguments passed to transform.

Value

• An object of class ghyp.

See Also

ghyp, fit.ghypuv and fit.ghypmv for constructors of ghyp objects.

Examples

## Mutivariate generalized hyperbolic distribution
  multivariate.ghyp <- ghyp(sigma=var(matrix(rnorm(9),ncol=3)), mu=1:3, gamma=-2:0)
  
  ## Dimension reduces to 2
  transform(multivariate.ghyp, multiplier=matrix(1:6,nrow=2), summand=10:11)
  
  ## Dimension reduces to 1
  transform(multivariate.ghyp, multiplier=1:3)
  
  ## Simple transformation
  transform(multivariate.ghyp, summand=100:102)
  
  ## Extract some dimension
  multivariate.ghyp[1]
  multivariate.ghyp[c(1, 3)]