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Moments of the generalized hyperbolic distribution

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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.

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Authors and Affiliations

  1. Department of Statistics, University of Auckland, PB 92019, Auckland, New Zealand

    David J. Scott, Christine Dong & Thanh Tam Tran

  2. Institut für Theoretische Physik, HIT K32.3, Wolfgang-Pauli-Strasse 27, 8093, Zürich, Switzerland

    Diethelm Würtz

Authors
  1. David J. Scott
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  2. Diethelm Würtz
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  3. Christine Dong
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  4. Thanh Tam Tran
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Correspondence to David J. Scott.

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Scott, D.J., Würtz, D., Dong, C. et al. Moments of the generalized hyperbolic distribution. Comput Stat 26, 459–476 (2011). https://doi.org/10.1007/s00180-010-0219-z

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