Generalized Hyperbolic Mode
dist-ghMode.Rd
Computes the mode of the generalized hyperbolic function.
Arguments
- alpha
first shape parameter.
- beta
second shape parameter, should in the range
(0, alpha).
- delta
scale parameter, must be zero or positive.
- mu
location parameter, by default 0.
- lambda
defines the sublclass, by default \(-1/2\).
Details
The meanings of the parameters correspond to the first
parameterization, see gh
for further details.
References
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.