swh:1:snp:d1587d616651317fdcebcbb237dce82c32266449
Tip revision: 944271d20ffa4fb36a171791c34afaae5325f74a authored by Rmetrics Core Team on 08 February 2010, 00:00:00 UTC
version 2110.79
version 2110.79
Tip revision: 944271d
dist-hyp.R
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# dhyp Returns density for hyperbolic DF
# phyp Returns probability for hyperbolic DF
# qhyp Returns quantiles for hyperbolic DF
# rhyp Returns random variates for hyperbolic DF
################################################################################
dhyp <-
function(x, alpha = 1, beta = 0, delta = 1, mu = 0, pm = c("1", "2", "3", "4"),
log = FALSE)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns Hyperbolic Density Function PDF
# Arguments:
# alpha, beta - Shape Parameter, |beta| <= alpha
# delta - Scale Parameter, 0 <= delta
# mu - Location Parameter
# FUNCTION:
# Parameters:
if (length(alpha) == 4) {
mu = alpha[4]
delta = alpha[3]
beta = alpha[2]
alpha = alpha[1]
}
# Checks:
if (alpha <= 0) stop("alpha must be greater than zero")
if (delta <= 0) stop("delta must be greater than zero")
if (abs(beta) >= alpha) stop("abs value of beta must be less than alpha")
# Settings:
pm = match.arg(pm)
# Density:
ans = NA
if (pm == 1) ans = .dhyp1(x, alpha, beta, delta, mu)
if (pm == 2) ans = .dhyp2(x, alpha, beta, delta, mu)
if (pm == 3) ans = .dhyp3(x, alpha, beta, delta, mu)
if (pm == 4) ans = .dhyp4(x, alpha, beta, delta, mu)
# Log:
if (log) ans = log(ans)
# Return value:
ans
}
# ------------------------------------------------------------------------------
phyp <-
function(q, alpha = 1, beta = 0, delta = 1, mu = 0, pm = c("1", "2", "3", "4"),
...)
{
# A function implemented by Diethelm Wuertz
# Description:
# Return cumulative probability of Hyperbolic PDF
# Arguments:
# alpha, beta - Shape Parameter, |beta| <= alpha
# delta - Scale Parameter, 0 <= delta
# mu - Location Parameter
# FUNCTION:
# Checks:
if (alpha <= 0) stop("alpha must be greater than zero")
if (delta <= 0) stop("delta must be greater than zero")
if (abs(beta) >= alpha) stop("abs value of beta must be less than alpha")
# Settings:
pm = match.arg(pm)
# Return Value:
ans = NA
if (pm == 1) return(.phyp1(q, alpha, beta, delta, mu, ...))
if (pm == 2) return(.phyp2(q, alpha, beta, delta, mu, ...))
if (pm == 3) return(.phyp3(q, alpha, beta, delta, mu, ...))
if (pm == 4) return(.phyp4(q, alpha, beta, delta, mu, ...))
}
# ------------------------------------------------------------------------------
qhyp <-
function(p, alpha = 1, beta = 0, delta = 1, mu = 0, pm = c("1", "2", "3", "4"),
...)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns quantiles of Hyperbolic PDF
# Arguments:
# alpha, beta - Shape Parameter, |beta| <= alpha
# delta - Scale Parameter, 0 <= delta
# mu - Location Parameter
# Note:
# This procedure will not run under Splus.
# FUNCTION:
# Checks:
if (alpha <= 0) stop("alpha must be greater than zero")
if (delta <= 0) stop("delta must be greater than zero")
if (abs(beta) >= alpha) stop("abs value of beta must be less than alpha")
# Settings:
pm = match.arg(pm)
# Return Value:
ans = NA
if (pm == 1) return(.qhyp1(p, alpha, beta, delta, mu, ...))
if (pm == 2) return(.qhyp2(p, alpha, beta, delta, mu, ...))
if (pm == 3) return(.qhyp3(p, alpha, beta, delta, mu, ...))
if (pm == 4) return(.qhyp4(p, alpha, beta, delta, mu, ...))
}
# ------------------------------------------------------------------------------
rhyp <-
function(n, alpha = 1, beta = 0, delta = 1, mu = 0, pm = c("1", "2", "3", "4"))
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns random deviates of Hyperbolic PDF
# Arguments:
# n - number of random deviates to be generated
# alpha, beta - Shape Parameter, |beta| <= alpha
# delta - Scale Parameter, 0 <= delta
# mu - Location Parameter
# Notes:
# I have removed my original Fortran program and replaced it by
# the dhyperb() function from the HyperbolicDist Package, written
# by David Scott, Ai-Wei Lee, Jennifer Tso, Richard Trendall.
# License: GPL
# FUNCTION:
# Checks:
if (alpha <= 0) stop("alpha must be greater than zero")
if (delta <= 0) stop("delta must be greater than zero")
if (abs(beta) >= alpha) stop("abs value of beta must be less than alpha")
# Settings:
pm = match.arg(pm)
# Result:
ans = NA
if (pm == 1) ans = .rhyp1(n, alpha, beta, delta, mu)
if (pm == 2) ans = .rhyp2(n, alpha, beta, delta, mu)
if (pm == 3) ans = .rhyp3(n, alpha, beta, delta, mu)
if (pm == 4) ans = .rhyp4(n, alpha, beta, delta, mu)
# Attributes:
attr(ans, "control") = c(dist = "hyp", alpha = alpha, beta = beta,
delta = delta, mu = mu)
# Return Value:
ans
}
################################################################################