R: Generalized Hyperbolic Student-t Moments

ghtMoments {fBasics}

R Documentation

Generalized Hyperbolic Student-t Moments

Description

Calculates moments of the generalized hyperbbolic Student-t distribution function.

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, delta, mu`	numeric values. `beta` is the skewness parameter in the range `(0, alpha)`; `delta` is the scale parameter, must be zero or positive; `mu` is the location parameter, by default 0. These are the parameters in the first parameterization.
`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 value, `"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 numerical value.

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)

[Package fBasics version 2160.81 Index]