EGIG {QRMlib}R Documentation

Estimate Moments of GIG Distribution

Description

Calculates moments of univariate generalized inverse Gaussian (GIG) distribution

Usage

EGIG(lambda, chi, psi, k=1)

Arguments

lambda lambda parameter
chi chi parameter
psi psi parameter
k order of moment

Details

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.

Value

mean of distribution

See Also

rGIG ElogGIG


[Package QRMlib version 1.4.4 Index]