RLambda: Functions for Calculating Moments

Description Usage Arguments Value Author(s) References See Also

View source: R/RLambda.R

Description

Functions used to calculate the mean, variance, skewness and kurtosis of a hyperbolic distribution. Not expected to be called directly by users.

Usage

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RLambda(zeta, lambda = 1)
SLambda(zeta, lambda = 1)
MLambda(zeta, lambda = 1)
WLambda1(zeta, lambda = 1)
WLambda2(zeta, lambda = 1)
WLambda3(zeta, lambda = 1)
WLambda4(zeta, lambda = 1)
gammaLambda1(hyperbPi, zeta, lambda = 1)
gammaLambda1(hyperbPi, zeta, lambda = 1)

Arguments

hyperbPi

Value of the parameter pi of the hyperbolic distribution.

zeta

Value of the parameter zeta of the hyperbolic distribution.

lambda

Parameter related to order of Bessel functions.

Value

The functions RLambda and SLambda are used in the calculation of the mean and variance. They are functions of the Bessel functions of the third kind, implemented in R as besselK. The other functions are used in calculation of higher moments. See Barndorff-Nielsen, O. and Blaesild, P (1981) for details of the calculations.

The parameterisation of the hyperbolic distribution used for this and other components of the HyperbolicDist package is the (pi,zeta) one. See hyperbChangePars to transfer between parameterizations.

Author(s)

David Scott [email protected], Richard Trendall, Thomas Tran

References

Barndorff-Nielsen, O. and Bl<c3><a6>sild, P (1981). Hyperbolic distributions and ramifications: contributions to theory and application. In Statistical Distributions in Scientific Work, eds., Taillie, C., Patil, G. P., and Baldessari, B. A., Vol. 4, pp. 19–44. Dordrecht: Reidel.

Barndorff-Nielsen, O. and Bl<c3><a6>sild, P (1983). Hyperbolic distributions. In Encyclopedia of Statistical Sciences, eds., Johnson, N. L., Kotz, S. and Read, C. B., Vol. 3, pp. 700–707. New York: Wiley.

See Also

dhyperb, hyperbMean,hyperbChangePars, besselK


sjp/GeneralizedHyperbolic documentation built on May 26, 2017, 10:13 a.m.