dgh {tsdistributions}

Generalized Hyperbolic Distribution

Description

Density, distribution, quantile function and random number generation for the generalized hyperbolic distribution parameterized in terms of mean, standard deviation, skew and two shape parameters (shape and lambda)

Usage

dgh(x, mu = 0, sigma = 1, skew = 0, shape = 1, lambda = 1, log = FALSE)

pgh(
  q,
  mu = 0,
  sigma = 1,
  skew = 0,
  shape = 1,
  lambda = 1,
  lower_tail = TRUE,
  log = FALSE
)

qgh(
  p,
  mu = 0,
  sigma = 1,
  skew = 0,
  shape = 1,
  lambda = 1,
  lower_tail = TRUE,
  log = FALSE
)

rgh(n, mu = 0, sigma = 1, skew = 0, shape = 1, lambda = 1)

Arguments

x, q

vector of quantiles.

mu

mean.

sigma

standard deviation.

skew

skew parameter.

shape

shape parameter.

lambda

additional shape parameter determining subfamilies of this distributions.

log

(logical) if TRUE, probabilities p are given as log(p).

lower_tail

if TRUE (default), probabilities are P[X \le x] otherwise, P[X > x].

p

vector of probabilities.

n

number of observations.

Value

d gives the density, p gives the distribution function, q gives the quantile function and r generates random deviates. Output depends on x or q length, or n for the random number generator.