gigChangePars function

Change Parameterizations of the Generalized Inverse Gaussian Distribution

This function interchanges between the following 4 parameterizations of the generalized inverse Gaussian distribution:

1. $(lambda, chi, psi)$

2. $(lambda, delta, gamma)$

3. $(lambda, alpha, beta)$

4. $(lambda, omega, eta)$

See (1982) and Dagpunar (1989)

gigChangePars(from, to, Theta, noNames = FALSE)

Arguments

• from: The set of parameters to change from.
• to: The set of parameters to change to.
• Theta: ‘from’ parameter vector consisting of 3 numerical elements.
• noNames: Logical. When TRUE, suppresses the parameter names in the output.

Details

The range of $lambda$ is the whole real line. In each parameterization, the other two parameters must take positive values.

Returns

A numerical vector of length 3 representing Theta in the ‘to’ parameterization.

References

, B. (1982). Statistical Properties of the Generalized Inverse Gaussian Distribution. Lecture Notes in Statistics, Vol. 9, Springer-Verlag, New York.

Dagpunar, J. S. (1989). An easily implemented generalised inverse Gaussian generator, Commun. Statist.---Simula., 18 , 703--710.

Author(s)

David Scott d.scott@auckland.ac.nz

See Also

dgig

Examples

Theta1 <- c(-0.5,5,2.5)                 # Parameterisation 1
Theta2 <- gigChangePars(1, 2, Theta1)   # Convert to parameterization 2
Theta2                                  # Parameterization 2
gigChangePars(2, 1, as.numeric(Theta2)) # Convert back to parameterization 1