dist-ghtMoments: Generalized Hyperbolic Student-t Moments

In fBasics: Rmetrics - Markets and Basic Statistics

Generalized Hyperbolic Student-t Moments

Description

Calculates moments of the generalized hyperbolic Student-t distribution.

Usage

ghtMean(beta=0.1, delta=1, mu=0, nu=10)
ghtVar(beta=0.1, delta=1, mu=0, nu=10)
ghtSkew(beta=0.1, delta=1, mu=0, nu=10)
ghtKurt(beta=0.1, delta=1, mu=0, nu=10)

ghtMoments(order, type = c("raw", "central", "mu"),
    beta=0.1, delta=1, mu=0, nu=10)

Arguments

beta	numeric value, the skewness parameter in the range (0, alpha).
delta	numeric value, the scale parameter, must be zero or positive.
mu	numeric value, the location parameter, by default 0.
nu	a numeric value, the number of degrees of freedom. Note, alpha takes the limit of abs(beta), and lambda=-nu/2.
order	an integer value, the order of the moment.
type	a character string, "raw" returns the moments about zero, "central" returns the central moments about the mean, and "mu" returns the moments about the location parameter mu.

Value

a named numerical value. The name is one of mean, var, skew, or kurt, obtained by dropping the nig prefix from the name of the corresponding function and lowercasing it.

for ghtMoments, the name is obtained by paste0("m", order, type).

Author(s)

Diethelm Wuertz

References

Scott, D.J., Wuertz, D. and Tran, T.T. (2008) Moments of the Generalized Hyperbolic Distribution. Preprint.

Examples

   
## ghtMean -
   ghtMean(beta=0.2, delta=1.2, mu=-0.5, nu=4)
   
## ghtKurt -
   ghtKurt(beta=0.2, delta=1.2, mu=-0.5, nu=4)
   
## ghtMoments -
   ghtMoments(4, 
     beta=0.2, delta=1.2, mu=-0.5, nu=4)
   ghtMoments(4, "central",
     beta=0.2, delta=1.2, mu=-0.5, nu=4)

fBasics documentation built on Aug. 20, 2024, 3:01 a.m.