ghyp (version 1.3.0)

coef-methods: Extract parameters of generalized hyperbolic distribution objects

Description

The function coef returns the parameters of a generalized hyperbolic distribution object as a list. The user can choose between the chi/psi, the alpha.bar and the alpha/delta parametrization. The function coefficients is a synonym for coef.

Usage

## S3 method for class 'ghyp':
coef(object, type = c("chi.psi", "alpha.bar", "alpha.delta"))
## S3 method for class 'ghyp':
coefficients(object, type = c("chi.psi", "alpha.bar", "alpha.delta"))

Arguments

object

An object inheriting from class ghyp.

type

According to type the parameters of either the chi/psi, the alpha.bar or the alpha/delta parametrization will be returned. If type is missing, the p

Value

• If type is chi.psi a list with components: rl{ lambda Shape parameter. chi Shape parameter. psi Shape parameters. mu Location parameter. sigma Dispersion parameter. gamma Skewness parameter. } If type is alpha.bar a list with components: rl{ lambda Shape parameter. alpha.bar Shape parameter. mu Location parameter. sigma Dispersion parameter. gamma Skewness parameter. } If type is alpha.delta a list with components: rl{ lambda Shape parameter. alpha Shape parameter. delta Shape parameter. mu Location parameter. Delta Dispersion matrix with a determinant of 1 (only returned in the multivariate case). beta Shape and skewness parameter. }

Details

Internally, the chi/psi parametrization is used. However, fitting is only possible in the alpha.bar parametrization as it provides the most convenient parameter constraints.

See Also

ghyp, fit.ghypuv, fit.ghypmv, ghyp.fit.info, transform, [.ghyp

Examples

ghyp.mv <- ghyp(lambda = 1, alpha.bar = 0.1, mu = rep(0,2), sigma = diag(rep(1,2)), 
                  gamma = rep(0,2), data = matrix(rt(1000, df = 4), ncol = 2))
  ## Get parameters
  coef(ghyp.mv, type = "alpha.bar")
  coefficients(ghyp.mv, type = "chi.psi") 
  
  ## Simple modification (do not modify slots directly e.g. object@mu <- 0:1)
  param <- coef(ghyp.mv, type = "alpha.bar")
  param$mu <- 0:1
  do.call("ghyp", param) # returns a new 'ghyp' object