ghyp.moment {ghyp} | R Documentation |
This function computes moments of arbitrary orders of the univariate generalized hyperbolic distribution.
ghyp.moment(object, order = 3:4, absolute = FALSE, central = TRUE, ...)
object |
A univarite generalized hyperbolic object inheriting from class
ghyp . |
order |
A vector containing the order of the moments. |
absolute |
Indicate whether the absolute value is taken or not. Must be TRUE
if order is not integer. |
central |
If TRUE the moment about the expected value is computed. |
... |
Arguments passed to integrate . |
In general ghyp.moment
is based on numerical integration. For
the special cases of either a “ghyp”, “hyp” or
“NIG” distribution analytic expressions will be taken if
non-absolute and non-centered moments of integer order are requested.
A vector containing the moments.
David Luethi
Moments of the Generalized Hyperbolic Distribution by
David J. Scott, Diethelm Wuertz and Thanh Tam Tran
Working paper, 2008
nig.uv <- NIG(alpha.bar = 0.1, mu = 1.1, sigma = 3, gamma = -2) # Moments of integer order ghyp.moment(nig.uv, order = 1:6) # Moments of fractional order ghyp.moment(nig.uv, order = 0.2 * 1:20, absolute = TRUE)