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Moments of the generalized hyperbolic distribution

By David J Scott, Diethelm Würtz, Christine Dong and Thanh Tam Tran

Abstract

In this paper we demonstrate a recursive method for obtaining the moments of the generalized hyperbolic distribution. The method is readily programmable for numerical evaluation of moments. For low order moments we also give an alternative derivation of the moments of the generalized hyperbolic distribution. The expressions given for these moments may be used to obtain moments for special cases such as the hyperbolic and normal inverse Gaussian distributions. Moments for limiting cases such as the skew hyperbolic t and variance gamma distributions can be found using the same approach.

Topics: C16 - Specific Distributions
Year: 2009
DOI identifier: 10.1007/s00180-010-0219-z
OAI identifier: oai:mpra.ub.uni-muenchen.de:19081

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