ghyp: A package on the generalized hyperbolic distribution and its special cases
Version 1.5.6

This package provides 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.

Package details

AuthorDavid Luethi, Wolfgang Breymann
Date of publication2014-11-11 12:08:56
MaintainerDavid Luethi <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("ghyp", repos="")

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ghyp documentation built on May 31, 2017, 4:35 a.m.