search for: dnig

Hi, I am trying to calculate probability density of normal inverse gaussian distribution. I am using dnig function of fBasics package. However, I am getting following result. The density at x = 0.003042866 is: > dnig(x= 0.003042866, alpha=5.184868, beta= 0.11841, delta= 0.06038513, mu= -0.0003520626) [1] 6.550251 I am not sure why it is 6.550251. Can anyone tell me why density is more than 1? T...

...(1/theta) vx[i] = (exret[i]-phi*exret[i-1]-m0-(m1+beta*((gamma^0.5)/(gamma^2+beta^2)^0.5))*h[i])/h[i] } mu = -1*beta*((gamma^0.5)/(gamma^2+beta^2)^0.5) delta=((gamma^1.5)/(gamma^2+beta^2)^0.5) alpha=gamma beta=beta param = c(mu, delta, alpha, beta) riskll <- -1*sum(log(dnig(vx,param=param))) return(riskll) } #optimization optim(x0,fn=riskll,method ="L-BFGS-B",lower=lbs,upper=ubs, data = data) [[alternative HTML version deleted]]