Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/momIntegrated.R

Calculates moments and absolute moments about a given location for the generalized hyperbolic and related distributions.

1 2 |

`densFn` |
Character. The name of the density function whose
moments are to be calculated. See |

`order` |
Numeric. The order of the moment or absolute moment to be calculated. |

`param` |
Numeric. A vector giving the parameter values for the
distribution specified by |

`about` |
Numeric. The point about which the moment is to be calculated. |

`absolute` |
Logical. Whether absolute moments or ordinary moments
are to be calculated. Default is |

Denote the density function by *f*. Then if
`order`

*=k* and `about`

*=a*,
`momIntegrated`

calculates

*
integral_{-infinity}^infinity (x - a)^k f(x) dx*

when `absolute = FALSE`

and

*
integral_{-infinity}^infinity |x - a|^k f(x) dx*

when `absolute = TRUE`

.

Only certain density functions are permitted.

When `densFn="ghyp"`

or `"generalized hyperbolic"`

the
density used is `dghyp`

. The default value for `param`

is
`c(0, 1, 1, 0, 1)`

.

When `densFn="hyperb"`

or `"hyperbolic"`

the density used is
`dhyperb`

. The default value for `param`

is
`c(0, 1, 1, 0)`

.

When `densFn="gig"`

or `"generalized inverse gaussian"`

the
density used is `dgig`

. The default value for `param`

is
`c(1, 1, 1)`

.

When `densFn="gamma"`

the density used is `dgamma`

. The
default value for `param`

is `c(1, 1)`

.

When `densFn="invgamma"`

or `"inverse gamma"`

the
density used is the density of the inverse gamma distribution given by

*
f(x) = u^alpha exp(-u)/(x Gamma(alpha)), u = theta/x*

for *x > 0*, *alpha > 0* and
*theta > 0*. The parameter vector
`param = c(shape, rate)`

where `shape`

*=alpha* and
`rate`

*=1/theta*. The default value for
`param`

is `c(-1, 1)`

.

When `densFn = "vg"`

or `"variance gamma"`

the density used is
`dvg`

from the package VarianceGamma. In this case, the package
VarianceGamma must be loaded or an error will result. The
default value for `param`

is `c(0, 1, 0, 1)`

.

The value of the integral as specified in **Details**.

David Scott [email protected], Christine Yang Dong [email protected]

`dghyp`

, `dhyperb`

,
`dgamma`

, `dgig`

,
`VarianceGamma`

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | ```
### Calculate the mean of a generalized hyperbolic distribution
### Compare the use of integration and the formula for the mean
m1 <- momIntegrated("ghyp", param = c(0, 1, 3, 1, 1 / 2), order = 1, about = 0)
m1
ghypMean(param = c(0, 1, 3, 1, 1 / 2))
### The first moment about the mean should be zero
momIntegrated("ghyp", order = 1, param = c(0, 1, 3, 1, 1 / 2), about = m1)
### The variance can be calculated from the raw moments
m2 <- momIntegrated("ghyp", order = 2, param = c(0, 1, 3, 1, 1 / 2), about = 0)
m2
m2 - m1^2
### Compare with direct calculation using integration
momIntegrated("ghyp", order = 2, param = c(0, 1, 3, 1, 1 / 2), about = m1)
momIntegrated("ghyp", param = c(0, 1, 3, 1, 1 / 2), order = 2,
about = m1)
### Compare with use of the formula for the variance
ghypVar(param = c(0, 1, 3, 1, 1 / 2))
``` |

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

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