ghypCheckPars function

Check Parameters of the Generalized Hyperbolic Distribution

Given a putative set of parameters for the generalized hyperbolic distribution, the functions checks if they are in the correct range, and if they correspond to the boundary cases.

ghypCheckPars(param)

Arguments

• param: Numeric. Putative parameter values for a generalized hyperblic distribution.

Details

The vector param takes the form c(mu, delta, alpha, beta, lambda).

If alpha is negative, an error is returned.

If lambda is 0 then the absolute value of beta must be less than alpha and delta must be greater than zero. If either of these conditions are false, than a error is returned.

If lambda is greater than 0 the absolute value of beta

must be less than alpha. delta must also be non-negative. When either one of these is not true, an error is returned.

If lambda is less than 0 then the absolute value of beta

must be equal to alpha. delta must be greater than 0, if both conditions are not true, an error is returned.

Returns

A list with components: - case: Either "" or "error".

• errMessage: An appropriate error message if an error was found, the empty string "" otherwise.

References

Paolella, Marc S. (2007) Intermediate Probability: A Computational Approach, Chichester: Wiley

Author(s)

David Scott d.scott@auckland.ac.nz

See Also

dghyp

Examples

ghypCheckPars(c(0, 2.5, -0.5, 1, 0))      # error
ghypCheckPars(c(0, 2.5, 0.5, 0, 0))       # normal
ghypCheckPars(c(0, 1, 1, -1, 0))          # error
ghypCheckPars(c(2, 0, 1, 0.5, 0))         # error
ghypCheckPars(c(0, 5, 2, 1.5, 0))         # normal
ghypCheckPars(c(0, -2.5, -0.5, 1, 1))     # error
ghypCheckPars(c(0, -1, 0.5, 1, 1))        # error
ghypCheckPars(c(0, 0, -0.5, -1, 1))       # error
ghypCheckPars(c(2, 0, 0.5, 0, -1))        # error
ghypCheckPars(c(2, 0, 1, 0.5, 1))         # skew laplace
ghypCheckPars(c(0, 1, 1, 1, -1))          # skew hyperbolic