ghyp: A Package on 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.

AuthorDavid Luethi, Wolfgang Breymann
Date of publication2016-08-17 11:01:12
MaintainerMarc Weibel <marc.weibel@zhaw.ch>
LicenseGPL (>= 2)
Version1.5.7

View on CRAN

Man pages

coef-method: Extract parameters of generalized hyperbolic distribution...

fit.ghypmv: Fitting generalized hyperbolic distributions to multivariate...

fit.ghypuv: Fitting generalized hyperbolic distributions to univariate...

ghyp-constructors: Create generalized hyperbolic distribution objects

ghyp-distribution: The Generalized Hyperbolic Distribution

ghyp-get: Get methods for objects inheriting from class ghyp

ghyp-internal: Internal ghyp functions

ghyp-mle.ghyp-classes: Classes ghyp and mle.ghyp

ghyp.moment: Compute moments of generalized hyperbolic distributions

ghyp-package: A package on the generalized hyperbolic distribution and its...

ghyp-risk-performance: Risk and Performance Measures

gig-distribution: The Generalized Inverse Gaussian Distribution

hist-methods: Histogram for univariate generalized hyperbolic distributions

indices: Monthly returns of five indices

lik.ratio.test: Likelihood-ratio test

logLik-AIC-methods: Extract Log-Likelihood and Akaike's Information Criterion

mean-vcov-skew-kurt-methods: Expected value, variance-covariance, skewness and kurtosis of...

pairs-methods: Pairs plot for multivariate generalized hyperbolic...

plot-lines-methods: Plot univariate generalized hyperbolic densities

portfolio.optimize: Portfolio optimization with respect to alternative risk...

qq-ghyp: Quantile-Quantile Plot

scale-methods: Scaling and Centering of ghyp Objects

smi.stocks: Daily returns of five swiss blue chips and the SMI

stepAIC.ghyp: Perform a model selection based on the AIC

summary-method: mle.ghyp summary

transform-extract-methods: Linear transformation and extraction of generalized...

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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