The Package 'SkewHyperbolic': Summary Information

Description

This package provides a collection of functions for working with the skew hyperbolic Student t-distribution.

Functions are provided for the density function (dskewhyp), distribution function (pskewhyp), quantiles (qskewhyp) and random number generation (rskewhyp). There are functions that fit the distribution to data (skewhypFit). The mean, variance, skewness, kurtosis and mode can be found using the functions skewhypMean, skewhypVar, skewhypSkew, skewhypKurt and skewhypMode respectively, and there is also a function to calculate moments of any order skewhypMom. To assess goodness of fit, there are functions to generate a Q-Q plot (qqskewhyp) and a P-P plot (ppskewhyp). S3 methods print, plot and summary are provided for the output of skwewhypFit.

Author(s)

David Scott d.scott@auckland.ac.nz, Fiona Grimson

References

Aas, K. and Haff, I. H. (2006). The Generalised Hyperbolic Skew Student's t-distribution, Journal of Financial Econometrics, 4, 275–309.

Paolella, Marc S. (2007) Intermediate Probability: A Computational Approach, Chichester: Wiley

Scott, D. J., W<c3><bc>rtz, D. and Tran, T. T. (2008) Moments of the Generalized Hyperbolic Distribution. Preprint.

See Also

dskewhyp, skewhypMean,skewhypMom, skewhypFit, skewhypFitStart, qqskewhyp, GeneralizedHyperbolicDistribution.

Results