dist-ghMode: Generalized Hyperbolic Mode

In fBasics: Rmetrics - Markets and Basic Statistics

Generalized Hyperbolic Mode

Description

Computes the mode of the generalized hyperbolic function.

Usage

ghMode(alpha = 1, beta = 0, delta = 1, mu = 0, lambda = -1/2)

Arguments

alpha	first shape parameter.
beta	second shape parameter, should in the range (0, alpha).
delta	scale parameter, must be zero or positive.
mu	location parameter, by default 0.
lambda	defines the sublclass, by default -1/2.

Details

The meanings of the parameters correspond to the first parameterization, see gh for further details.

Value

a numeric value, the mode of the generalized hyperbolic distribution

References

Atkinson, A.C. (1982); The simulation of generalized inverse Gaussian and hyperbolic random variables, SIAM J. Sci. Stat. Comput. 3, 502–515.

Barndorff-Nielsen O. (1977); Exponentially decreasing distributions for the logarithm of particle size, Proc. Roy. Soc. Lond., A353, 401–419.

Barndorff-Nielsen O., Blaesild, 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.

Raible S. (2000); Levy Processes in Finance: Theory, Numerics and Empirical Facts, PhD Thesis, University of Freiburg, Germany, 161 pages.

Examples

   
## ghMode -
   ghMode()

fBasics documentation built on Nov. 3, 2023, 3:01 p.m.