XploRe Help : pdfghd

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	distribs
See also:	pdfhyp pdfnig mbessel3

Quantlet:		pdfghd
Description:		calculates the density of generalized hyperbolic distribution

Usage:	`y = pdfghd(x, lambda, alpha, beta, delta, mu)`
Input:
	`x`	n x 1 vector, real numbers where the density is calculated.
	`lambda`	scalar, a parameter of generalized hyperbolic distribution.
	`alpha`	scalar, a parameter of generalized hyperbolic distribution, positive when lambda is nonnegative, nonnegative when lambda is negative.
	`beta`	scalar, a parameter of generalized hyperbolic distribution, \|beta\|<alpha when lambda is nonnegative, \|beta\|<=alpha when lambda is negative.
	`delta`	scalar, a parameter of generalized hyperbolic distribution, positive when lambda is less than or equal to zero, nonnegative when lambda is positive.
	`mu`	scalar, a parameter of generalized hyperbolic distribution.
Output:
	`y`	n x 1 vector, values of the hyperbolic density

Example:

library("distribs") library("plot") x = aseq(-0.15, 101, 0.003) lambda = -1.933 alpha = 5.174 beta = 0.0048 delta = 0.0262 mu = 0.0002 y = pdfghd(x, lambda, alpha, beta, delta, mu) gr = setmask(x~y, "line", "blue", "thin") plot(gr)

Result:

The plot of a generalized hyperbolic density is displayed.

Author: W. Haerdle, S. Jeong, 20030225 licensed MD*Tech