moments_stdNTS: moments_stdNTS

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

Description

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

Usage

moments_stdNTS(param)

Arguments

param

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

Value

First 4 moments (Mean, Variance, Skewness, Excess Kurtosis) of NTS distribution. Of course, the mean and variance are always 0 and 1, respectively.

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
ntsparam <- c(alpha, theta, beta)
moments_stdNTS(param = ntsparam)

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