moments_NTS: moments_NTS

In aaron9011/temStaR-v0.814: Tempered Stable Distribution

Description

moments_NTS calculates mean, variance, skewness, and excess kurtosis of the NTS distribution with parameters (α, θ, β, γ, μ).

Usage

moments_NTS(param)

Arguments

param

A vector of the NTS parameters (α, θ, β, γ, μ).

Value

First 4 moments (Mean, Variance, Skewness, Excess Kurtosis) of NTS distribution. The mean is always the same as the parameter μ.

References

Kim, Y.S, K-H Roh, R. Douady (2020) Tempered Stable Processes with Time Varying Exponential Tails https://arxiv.org/pdf/2006.07669.pdf

Examples

library("temStaR")
alpha <- 1.2
theta <- 1
beta <- -0.2
gamma <- 0.3
mu <- 0.1
ntsparam <- c(alpha, theta, beta, gamma, mu)
moments_NTS(param = ntsparam)

aaron9011/temStaR-v0.814 documentation built on Dec. 24, 2021, 6:16 p.m.