ghyp: Generalized Hyperbolic Distribution and Its Special Cases

Detailed functionality for working with the univariate and multivariate Generalized Hyperbolic distribution and its special cases (Hyperbolic (hyp), Normal Inverse Gaussian (NIG), Variance Gamma (VG), skewed Student-t and Gaussian distribution). Especially, it contains fitting procedures, an AIC-based model selection routine, and functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well as the likelihood ratio test. In addition, it contains the Generalized Inverse Gaussian distribution. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management: Concepts, techniques and tools. Princeton University Press, Princeton (2005).

Package details

AuthorMarc Weibel [aut, cre], David Luethi [aut], Henriette-Elise Breymann [aut]
MaintainerMarc Weibel <marc.weibel@quantsulting.ch>
LicenseGPL (>= 2)
Version1.6.5
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("ghyp")

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ghyp documentation built on Sept. 12, 2024, 7:38 a.m.