swh:1:snp:d1587d616651317fdcebcbb237dce82c32266449
Tip revision: 944271d20ffa4fb36a171791c34afaae5325f74a authored by Rmetrics Core Team on 08 February 2010, 00:00:00 UTC
version 2110.79
version 2110.79
Tip revision: 944271d
dist-nigRobMoments.R
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# nigMED Returns true NIG median
# nigIQR Returns true NIG inter quartal range
# nigSKEW Returns true NIG robust skewness
# nigKURT Returns true NIG robust kurtosis
################################################################################
nigMED <-
function(alpha=1, beta=0, delta=1, mu=0)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true NIG median
# FUNCTION:
# NIG Median:
Q = .qnigC(p=0.5, alpha, beta, delta, mu)
med = c(MED = Q)
# Return Value:
med
}
# ------------------------------------------------------------------------------
nigIQR <-
function(alpha=1, beta=0, delta=1, mu=0)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true NIG inter quartal range
# FUNCTION:
# NIG Inter Quartile Range:
Q = numeric()
Q[1] = .qnigC(p=0.25, alpha, beta, delta, mu)
Q[2] = .qnigC(p=0.75, alpha, beta, delta, mu)
iqr = c(IQR = Q[[2]] - Q[[1]])
# Return Value:
iqr
}
# ------------------------------------------------------------------------------
nigSKEW <-
function(alpha=1, beta=0, delta=1, mu=0)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true NIG robust skewness
# FUNCTION:
# NIG Robust Skewness:
Q = numeric()
Q[1] = .qnigC(p=0.25, alpha, beta, delta, mu)
Q[2] = .qnigC(p=0.50, alpha, beta, delta, mu)
Q[3] = .qnigC(p=0.75, alpha, beta, delta, mu)
skew = c(SKEW = ( Q[[3]] + Q[[1]] - 2* Q[[2]] ) / (Q[[3]] - Q[[1]] ) )
# Return Value:
skew
}
# ------------------------------------------------------------------------------
nigKURT <-
function(alpha=1, beta=0, delta=1, mu=0)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true NIG robust kurtosis
# FUNCTION:
# NIG Robust Kurtosis:
Q = numeric()
for (p in (1:7)/8) Q = c(Q, .qnigC(p, alpha, beta, delta, mu))
kurt = c(KURT = (Q[[7]] - Q[[5]] + Q[[3]] - Q[[1]]) / (Q[[6]] - Q[[2]]))
# Return Value:
kurt
}
################################################################################