ghyp.moment {ghyp} | R Documentation |
Compute moments of generalized hyperbolic distributions
Description
This function computes moments of arbitrary orders of the univariate
generalized hyperbolic distribution. The expectation of is calculated.
can be either the absolute value or the
identity.
can be either zero or
.
Usage
ghyp.moment(object, order = 3:4, absolute = FALSE, central = TRUE, ...)
Arguments
object |
A univarite generalized hyperbolic object inheriting from class
|
order |
A vector containing the order of the moments. |
absolute |
Indicate whether the absolute value is taken or
not. If |
central |
If |
... |
Arguments passed to |
Details
In general ghyp.moment
is based on numerical integration. For
the special cases of either a “ghyp”, “hyp” or
“NIG” distribution analytic expressions (see References)
will be taken if non-absolute and non-centered moments of integer
order are requested.
Value
A vector containing the moments.
Author(s)
David Luethi
References
Moments of the Generalized Hyperbolic Distribution by
David J. Scott, Diethelm Wuertz and Thanh Tam Tran
Working paper, 2008
See Also
Examples
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)