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.
David Scott d.scott@auckland.ac.nz, Fiona Grimson
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., Würtz, D. and Tran, T. T. (2008) Moments of the Generalized Hyperbolic Distribution. Preprint.
dskewhyp,
skewhypMean,skewhypMom,
skewhypFit, skewhypFitStart,
qqskewhyp,
GeneralizedHyperbolicDistribution.