skewhypCalcRange {SkewHyperbolic} | R Documentation |
Given the parameter vector param
, or parameter values of a skew
hyperbolic Student t-distribution, this function determines the
range outside of which the density function is negligible, to a
specified tolerance.
skewhypCalcRange(mu = 0, delta = 1, beta = 1, nu = 1, param = c(mu,delta,beta,nu), tol= 10^(-5), ...)
mu |
Location parameter mu, default is 0. |
delta |
Scale parameter delta, default is 1. |
beta |
Skewness parameter beta, default is 1. |
nu |
Shape parameter nu, default is 1. |
param |
Specifying the parameters as a vector of the formc(mu,delta,beta,nu) . |
tol |
Density function value at the endpoints of the range returned by the function. |
... |
Passes additional arguments to uniroot . |
The particular skew hyperbolic distribution being considered is
specified by either the individual parameter values, or the parameter
vector param
. If both are specified, the values in param
will overwirte the other ones. In addition the parameter values are
examined by calling the function skewhypCheckPars
to see if
they are valid.
The function returns the range outside of which the density is less
than the given tolerance. Useful for plotting, and is called by
skewhypBreaks
when determining suitable breakpoints to
be used when integrating the density function numerically to find the
distribution function. The points are found by using
uniroot
on the density function.
The function returns a two component vector giving the lower and upper limits of the range.
David Scott d.scott@auckland.ac.nz, Fiona Grimson
Aas, K. and Haff, I. H. (2006). The Generalised Hyperbolic Skew Student's t-distribution, Journal of Financial Econometrics, 4, 275–309.
uniroot
, dskewhyp
, skewhypCheckPars
param <- c(0,1,10,10) range <- skewhypCalcRange(param = param, tol = 10^(-2)) range curve(dskewhyp(x, param = c(0,1,5,10), range[1], range[2]))