fBasics (version 4021.93)

nigMode: Normal Inverse Gaussian Mode

Description

Computes the mode of the norm inverse Gaussian distribution.

Usage

nigMode(alpha = 1, beta = 0, delta = 1, mu = 0)

Value

returns the mode for the normal inverse Gaussian distribution. A numeric value.

Arguments

alpha, beta, delta, mu

shape parameter alpha; skewness parameter beta, abs(beta) is in the range (0, alpha); scale parameter delta, delta must be zero or positive; location parameter mu, by default 0. These are the parameters in the first parameterization.

References

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.

Examples

## nigMode -
   nigMode()