Description Usage Arguments Details Value Author(s) References Examples
dgb
is the probability density function of generalized beta distribution.
1 | dgb(x, a, b, v, w)
|
x |
value at which the denisty is to be evaluated |
a |
power parameter > 0 |
b |
scale paramter > 0 |
v |
first beta paramter > 0 |
w |
second beta parameter > 0 |
Let B be a beta random variable with parameters v and w, then Z = b(B/(1-B))^{1/a} is a generalized beta with parameters (a,b,v,w).
density value at x
Kam Hamidieh
R.M. Bookstaber and J.B. McDonald (1987) A general distribution for describing security price returns. Journal of Business, 60, 401-424
X. Liu and M.B. Shackleton and S.J. Taylor and X. Xu (2007) Closed-form transformations from risk-neutral to real-world distributions Journal of Business, 60, 401-424
E. Jondeau and S. Poon and M. Rockinger (2007): Financial Modeling Under Non-Gaussian Distributions Springer-Verlag, London
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