fBasics (version 4032.96)

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

a numeric value, the mode of the normal inverse Gaussian distribution

Arguments

alpha

shape parameter.

beta

skewness parameter beta, abs(beta) is in the range (0, alpha).

delta

scale parameter, must be zero or positive.

mu

location parameter, by default 0.

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()