dist-ghRobMoments: Robust Moments for the GH In fBasics: Rmetrics - Markets and Basic Statistics

Description

Computes the first four robust moments for the generalized hyperbolic distribution..

Usage

 1 2 3 4 ghMED(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2) ghIQR(alpha= 1, beta = 0, delta = 1, mu = 0, lambda = -1/2) ghSKEW(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2) ghKURT(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2)

Arguments

 alpha, beta, delta, mu, lambda numeric values. alpha is the first shape parameter; beta is the second shape parameter in the range (0, alpha); delta is the scale parameter, must be zero or positive; mu is the location parameter, by default 0; and lambda defines the sublclass, by default -1/2. These are the meanings of the parameters in the first parameterization pm=1 which is the default parameterization. In the second parameterization, pm=2 alpha and beta take the meaning of the shape parameters (usually named) zeta and rho. In the third parameterization, pm=3 alpha and beta take the meaning of the shape parameters (usually named) xi and chi. In the fourth parameterization, pm=4 alpha and beta take the meaning of the shape parameters (usually named) a.bar and b.bar.

Value

All values for the *gh functions are numeric vectors: d* returns the density, p* returns the distribution function, q* returns the quantile function, and r* generates random deviates.

All values have attributes named "param" listing the values of the distributional parameters.

Diethelm Wuertz.

Examples

 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 ## ghMED - # Median: ghMED(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2) ## ghIQR - # Inter-quartile Range: ghIQR(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2) ## ghSKEW - # Robust Skewness: ghSKEW(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2) ## ghKURT - # Robust Kurtosis: ghKURT(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2)

fBasics documentation built on March 13, 2020, 9:09 a.m.