EGIG {QRMlib} | R Documentation |
Calculates moments of univariate generalized inverse Gaussian (GIG) distribution
EGIG(lambda, chi, psi, k=1)
lambda |
lambda parameter |
chi |
chi parameter |
psi |
psi parameter |
k |
order of moment |
Normal variance mixtures are frequently obtained by perturbing the variance component
of a normal distribution; we multiply by the square root of a mixing variable assumed
to have a GIG (generalized inverse gaussian) distribution depending upon three parameters
lambda, chi, and psi. See p.77 in QRM.
Normal mean-variance mixtures are created from normal variance mixtures by applying another perturbation of the same mixing variable to the mean component of a normal distribution. These perturbations create Generalized Hyperbolic Distributions. See pp. 78-81 in QRM.
Also see page 497 of QRM Book for a description of the GIG distribution.
mean of distribution