dist-nigMoments: Moments for the Normal Inverse Gaussian

In fBasics: Rmetrics - Markets and Basic Statistics

Moments for the Normal Inverse Gaussian

Description

Computes the first four moments for the normal inverse Gaussian distribution.

Usage

nigMean(alpha = 1, beta = 0, delta = 1, mu = 0)
nigVar(alpha = 1, beta = 0, delta = 1, mu = 0)
nigSkew(alpha = 1, beta = 0, delta = 1, mu = 0)
nigKurt(alpha = 1, beta = 0, delta = 1, mu = 0)

Arguments

alpha	shape parameter.
beta	skewness parameter beta, abs(beta) is in the range (0, alpha).
delta	scale parameter, must be zero or positive.
mu	location parameter, by default 0.

Value

a named numerical value. The name is one of mean, var, skew, or kurt, obtained by dropping the nig prefix from the name of the corresponding function and lowercasing it.

Author(s)

Diethelm Wuertz.

References

Scott, D. J., Wuertz, D. and Tran, T. T. (2008) Moments of the Generalized Hyperbolic Distribution. Preprint.

Examples

   
## nigMean -
   # Median:
   nigMean(alpha = 1, beta = 0, delta = 1, mu = 0)
 
## nigVar - 
   # Inter-quartile Range:
   nigVar(alpha = 1, beta = 0, delta = 1, mu = 0)
 
## nigSKEW -  
   # Robust Skewness:
   nigSkew(alpha = 1, beta = 0, delta = 1, mu = 0)
   
## nigKurt -
   # Robust Kurtosis:
   nigKurt(alpha = 1, beta = 0, delta = 1, mu = 0)

fBasics documentation built on Sept. 11, 2024, 6:34 p.m.