momRecursion: Computes the moment coefficients recursively for generalized...

In sjp/GeneralizedHyperbolic: The generalized hyperbolic distribution

Description

This function computes all of the moments coefficients by recursion based on Scott, W<c3><bc>rtz and Tran (2008). See Details for the formula.

Usage

  momRecursion(order = 12, printMatrix = FALSE)

Arguments

order	Numeric. The order of the moment coefficients to be calculated. Not permitted to be a vector. Must be a positive whole number except for moments about zero.
printMatrix	Logical. Should the coefficients matrix be printed?

Details

The moment coefficients recursively as a_{1,1}=1 and

a_{k,l} = a_{k-1,l=1} + (2l - k + 1) a_{k-1,l}

with a_k,l = 0 for l < [(k + 1)/2] or l > k where k = order, l is equal to the integers from (k + 1)/2 to k.

This formula is given in Scott, W<c3><bc>rtz and Tran (2008, working paper).

The function also calculates M which is equal to 2l - k. It is a common term which will appear in the formulae for calculating moments of generalized hyperbolic and related distributions.

Value

a	The non-zero moment coefficients for the specified order.
l	Integers from (order+1)/2 to order. It is used when computing the moment coefficients and the mu moments.
M	The common term used when computing mu moments for generalized hyperbolic and related distributions, M = 2l - k, k=order
lmin	The minimum of l, which is equal to (order+1)/2.

Author(s)

David Scott [e-mail], Christine Yang Dong [e-mail]

References

Scott, D. J., W<c3><bc>rtz, D. and Tran, T. T. (2008) Moments of the Generalized Hyperbolic Distribution. Preprint.

Examples

  momRecursion(order = 12)

  #print out the matrix
  momRecursion(order = 12, "true")

sjp/GeneralizedHyperbolic documentation built on May 30, 2019, 12:06 a.m.