moments_NTS: moments_NTS

In aaron9011/temStaR-v0.90: Tempered Stable Distribution

moments_NTS

Description

moments_NTS calculates mean, variance, skewness, and excess kurtosis of the NTS distribution with parameters (\alpha, \theta, \beta, \gamma, \mu).

Usage

moments_NTS(param)

Arguments

param

A vector of the NTS parameters (\alpha, \theta, \beta, \gamma, \mu).

Value

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

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-v0.90 documentation built on June 1, 2025, 4:15 p.m.