ghyp (version 1.1.0)

ghyp.moments: Compute moments of generalized hyperbolic distributions

Description

This function computes moments of arbitrary orders of the univariate generalized hyperbolic distribution.

Usage

ghyp.moment(object, order = 3:4, absolute = FALSE, central = TRUE, ...)

Arguments

object

An 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.

Value

• A vector containing the moments.

See Also

mean, vcov, Egig

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)