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

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.

AuthorDavid Luethi, Wolfgang Breymann
Date of publication2014-11-11 12:08:56
MaintainerDavid Luethi <luethid@gmail.com>
LicenseGPL (>= 2)
Version1.5.6

View on R-Forge

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...

Functions

AIC.mle.ghyp Man page
AIC,mle.ghyp-method Man page
coefficients,ghyp-method Man page
coef.ghyp Man page
coef,ghyp-method Man page
dghyp Man page
dgig Man page
Egig Man page
ESghyp Man page
ESgig Man page
fit.gaussmv Man page
fit.gaussuv Man page
fit.ghypmv Man page
fit.ghypuv Man page
fit.hypmv Man page
fit.hypuv Man page
fit.NIGmv Man page
fit.NIGuv Man page
fit.tmv Man page
fit.tuv Man page
fit.VGmv Man page
fit.VGuv Man page
gauss Man page
ghyp Man page
[.ghyp Man page
ghyp.ad Man page
ghyp-class Man page
ghyp.data Man page
ghyp.dim Man page
ghyp.fit.info Man page
ghyp.internal Man page
ghyp.kurtosis Man page
ghyp.moment Man page
ghyp.name Man page
[,ghyp,numeric,missing,missing-method Man page
ghyp.omega Man page
ghyp-package Man page
ghyp.skewness Man page
hist.ghyp Man page
hist,ghyp-method Man page
hist-methods Man page
hyp Man page
hyp.ad Man page
indices Man page
lik.ratio.test Man page
lines.ghyp Man page
lines,ghyp-method Man page
lines-methods Man page
logLik.mle.ghyp Man page
logLik,mle.ghyp-method Man page
mean.ghyp Man page
mean,ghyp-method Man page
mean-methods Man page
mle.ghyp-class Man page
NIG Man page
NIG.ad Man page
pairs.ghyp Man page
pairs,ghyp-method Man page
pairs-methods Man page
pghyp Man page
pgig Man page
plot.ghyp Man page
plot,ghyp,missing-method Man page
plot-methods Man page
portfolio.optimize Man page
qghyp Man page
qgig Man page
qqghyp Man page
rghyp Man page
rgig Man page
scale.ghyp Man page
scale,ghyp-method Man page
show.ghyp Man page
show,ghyp-method Man page
show.mle.ghyp Man page
show,mle.ghyp-method Man page
smi.stocks Man page
stepAIC.ghyp Man page
student.t Man page
student.t.ad Man page
summary-methods Man page
summary.mle.ghyp Man page
summary,mle.ghyp-method Man page
transform.ghyp Man page
transform,ghyp-method Man page
vcov.ghyp Man page
vcov,ghyp-method Man page
vcov-methods Man page
VG Man page
VG.ad Man page

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

Please suggest features or report bugs with the GitHub issue tracker.

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