| ght {fBasics} | R Documentation |
Density, distribution function, quantile function and random generation for the hyperbolic distribution.
dght(x, beta = 0.1, delta = 1, mu = 0, nu = 10) pght(q, beta = 0.1, delta = 1, mu = 0, nu = 10) qght(p, beta = 0.1, delta = 1, mu = 0, nu = 10) rght(n, beta = 0.1, delta = 1, mu = 0, nu = 10)
x, q |
a numeric vector of quantiles. |
p |
a numeric vector of probabilities. |
n |
number of observations. |
beta, delta, mu |
skewness parameter beta, abs(beta) is in the
range (0, alpha);
scale parameter delta, delta must be zero or
positive;
location parameter mu, by default 0.
These are the parameters in the first parameterization.
|
nu |
a numeric value, the number of degrees of freedom. |
All values for the *ght functions are numeric vectors:
d* returns the density,
p* returns the distribution function,
q* returns the quantile function, and
r* generates random deviates.
All values have attributes named "param" listing
the values of the distributional parameters.
Atkinson, A.C. (1982); The simulation of generalized inverse Gaussian and hyperbolic random variables, SIAM J. Sci. Stat. Comput. 3, 502–515.
Barndorff-Nielsen O. (1977); Exponentially decreasing distributions for the logarithm of particle size, Proc. Roy. Soc. Lond., A353, 401–419.
Barndorff-Nielsen O., Blaesild, P. (1983); Hyperbolic distributions. In Encyclopedia of Statistical Sciences, Eds., Johnson N.L., Kotz S. and Read C.B., Vol. 3, pp. 700–707. New York: Wiley.
Raible S. (2000); Levy Processes in Finance: Theory, Numerics and Empirical Facts, PhD Thesis, University of Freiburg, Germany, 161 pages.
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