R: Standardized generalized hyperbolic Student-t Distribution

sght {fBasics} | R Documentation

## Standardized generalized hyperbolic Student-t Distribution

### Description

Density, distribution function, quantile function and random generation for the standardized generalized hyperbolic distribution.

### Usage

    dsght(x, beta = 0.1, delta = 1, mu = 0, nu = 10, log = FALSE)
    psght(q, beta = 0.1, delta = 1, mu = 0, nu = 10)
    qsght(p, beta = 0.1, delta = 1, mu = 0, nu = 10)
    rsght(n, beta = 0.1, delta = 1, mu = 0, nu = 10)

### Arguments

`beta, delta, mu` | numeric values. `beta` is the skewness parameter in the range `(0, alpha)`; `delta` is the scale parameter, must be zero or positive; `mu` is the location parameter, by default 0. These are the parameters in the first parameterization.
`nu` | a numeric value, the number of degrees of freedom. Note, `alpha` takes the limit of `abs(beta)`, and `lambda=-nu/2`.
`x, q` | a numeric vector of quantiles.
`p` | a numeric vector of probabilities.
`n` | number of observations.
`log` | a logical, if TRUE, probabilities `p` are given as `log(p)`.

### Value

All values for the `*sght` 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.

### Author(s)

Diethelm Wuertz.

### Examples

    ## rsght -
       set.seed(1953)
       r = rsght(5000, beta = 0.1, delta = 1, mu = 0, nu = 10)
       plot(r, type = "l", col = "steelblue",
         main = "gh: zeta=1 rho=0.5 lambda=1")

    ## dsght -
       # Plot empirical density and compare with true density:
       hist(r, n = 50, probability = TRUE, border = "white", col = "steelblue")
       x = seq(-5, 5, length = 501)
       lines(x, dsght(x, beta = 0.1, delta = 1, mu = 0, nu = 10))

    ## psght -
       # Plot df and compare with true df:
       plot(sort(r), (1:5000/5000), main = "Probability", col = "steelblue")
       lines(x, psght(x, beta = 0.1, delta = 1, mu = 0, nu = 10))

    ## qsght -
       # Compute Quantiles:
       round(qsght(psght(seq(-5, 5, 1), beta = 0.1, delta = 1, mu = 0, nu =10),
                   beta = 0.1, delta = 1, mu = 0, nu = 10), 4)

[Package fBasics version 3042.89 Index]