search for: dsgh

Hi, I try to understand how the generalized hyperbolic distribution is standardized. One reference is the rugarch vignette, page 16-18: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf I looked at the code of the dsgh function in the fBasics package: > dsgh function (x, zeta = 1, rho = 0, lambda = 1, log = FALSE) { if (length(zeta) == 3) { lambda = zeta[3] rho = zeta[2] zeta = zeta[1] } param = .paramGH(zeta, rho, lambda) ans = dgh(x, param[1], param[2], param[3], param...

Hi, I want to fit standardized generalized hyperbolic distribution to my data. I am aware, that I can do this with the dsgh command of the fBasics package along with the optim command. My problem is, that I also want to have a derivation of it. So I need the theory behind it, i.e. I need the formula of the probability density function which they use and the derivation of it. I thought about standardizing the generalize...

Hi, I want to fit a standardized generalized hyperbolic distribution to my data. I am aware, that I can do this with the dsgh command of the fBasics package along with the optim command. My problem is, that I also want to have a derivation of it. So I need the theory behind it, i.e. I need the formula of the probability density function which they use and the derivation of it. I thought about standardizing the generalize...