gh function

Generalized Hyperbolic Distribution (rho-zeta parameterization)

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)

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.

Returns

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.