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.
|Author||David Luethi, Wolfgang Breymann|
|Date of publication||2016-08-17 11:01:12|
|Maintainer||Marc Weibel <firstname.lastname@example.org>|
|License||GPL (>= 2)|
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...