Computes the mode of the generalized hyperbolic Student-t distribution.
ghtMode(beta = 0.1, delta = 1, mu = 0, nu = 10)
returns the mode for the generalized hyperbolic Student-t distribution. A numeric value.
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.
a numeric value, the number of degrees of freedom.
Note, alpha
takes the limit of abs(beta)
,
and lambda=-nu/2
.
Atkinson, A.C. (1982); The simulation of generalized inverse Gaussian and hyperbolic random variables, SIAM J. Sci. Stat. Comput. 3, 502--515.
Barndorff-Nielsen O. (1977); Exponentially decreasing distributions for the logarithm of particle size, Proc. Roy. Soc. Lond., A353, 401--419.
Barndorff-Nielsen O., Blaesild, P. (1983); Hyperbolic distributions. In Encyclopedia of Statistical Sciences, Eds., Johnson N.L., Kotz S. and Read C.B., Vol. 3, pp. 700--707. New York: Wiley.
Raible S. (2000); Levy Processes in Finance: Theory, Numerics and Empirical Facts, PhD Thesis, University of Freiburg, Germany, 161 pages.