gh: Generalized Hyperbolic Distribution (rho-zeta...

In tsdistributions: Location Scale Standardized Distributions

Generalized Hyperbolic Distribution (rho-zeta parameterization)

Description

Density, distribution, quantile function and random number generation for the generalized hyperbolic distribution parameterized in terms of mean, standard deviation, skew and two shape parameters (shape and lambda)

Usage

dgh(x, mu = 0, sigma = 1, skew = 0, shape = 1, lambda = 1, log = FALSE)

pgh(
  q,
  mu = 0,
  sigma = 1,
  skew = 0,
  shape = 1,
  lambda = 1,
  lower_tail = TRUE,
  log = FALSE
)

qgh(
  p,
  mu = 0,
  sigma = 1,
  skew = 0,
  shape = 1,
  lambda = 1,
  lower_tail = TRUE,
  log = FALSE
)

rgh(n, mu = 0, sigma = 1, skew = 0, shape = 1, lambda = 1)

Arguments

x, q	vector of quantiles.
mu	mean.
sigma	standard deviation.
skew	skew parameter.
shape	shape parameter.
lambda	additional shape parameter determining subfamilies of this distributions.
log	(logical) if TRUE, probabilities p are given as log(p).
lower_tail	if TRUE (default), probabilities are P[X \le x] otherwise, P[X > x].
p	vector of probabilities.
n	number of observations.

Value

d gives the density, p gives the distribution function, q gives the quantile function and r generates random deviates. Output depends on x or q length, or n for the random number generator.

tsdistributions documentation built on June 8, 2025, 11:20 a.m.