Functions to calculate the mean, variance, skewness, kurtosis and mode of a specific generalized inverse Gaussian distribution.
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Parameter vector of the generalized inverse Gaussian distribution.
gigMean gives the mean of the generalized inverse Gaussian
gigVar the variance,
gigSkew the skewness,
gigKurt the kurtosis, and
gigMode the mode. The formulae
used are as given in Jorgensen (1982),
pp. 13–17. Note that the kurtosis is the standardised fourth cumulant
or what is sometimes called the kurtosis excess. (See
http://mathworld.wolfram.com/Kurtosis.html for a discussion.)
The parameterization used for the generalized inverse Gaussian
distribution is the (chi, psi) one (see
dgig). To use another parameterization, use
David Scott [email protected]
Jorgensen, B. (1982). Statistical Properties of the Generalized Inverse Gaussian Distribution. Lecture Notes in Statistics, Vol. 9, Springer-Verlag, New York.
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