ghyp (version 0.9.2)

Expected value and variance: Expected value and variance-covariance of generalized hyperbolic distributions

Description

The function mean returns the expected value. The function vcov returns the variance in the univariate case and the variance covariance matrix in the multivariate case.

Usage

## S3 method for class 'ghypbase':
mean(x)
## S3 method for class 'ghypbase':
vcov(object)

Arguments

x, object

An object inheriting from class ghypbase.

Value

• Either the expected value or the variance.

See Also

ghyp, ghypbase-class, ghyp.moments

Examples

## Univariate: Parametric 
  vg.dist <- VG(lambda=1.10,mu=10,sigma=10,gamma=2)
  mean(vg.dist)
  vcov(vg.dist)
  ## Univariate: Empirical                                                 
  vg.sim <- rghyp(10000,vg.dist)
  mean(vg.sim)
  var(vg.sim)

  ## Multivariate: Parametric 
  vg.dist <- VG(lambda=.10,mu=c(55,33),sigma=diag(c(22,888)),gamma=1:2)
  mean(vg.dist)
  vcov(vg.dist)
  ## Multivariate: Empirical                                                 
  vg.sim <- rghyp(10000,vg.dist)
  colMeans(vg.sim)
  var(vg.sim)