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.

Author
David Luethi, Wolfgang Breymann
Date of publication
2014-11-11 12:08:56
Maintainer
David Luethi <luethid@gmail.com>
License
GPL (>= 2)
Version
1.5.6

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...

Files in this package

ghyp/ChangeLog
ghyp/DESCRIPTION
ghyp/Fixme
ghyp/NAMESPACE
ghyp/R
ghyp/R/ghypClasses.R
ghyp/R/ghypConstructors.R
ghyp/R/ghypFitting.R
ghyp/R/ghypGIG.R
ghyp/R/ghypGenericMethods.R
ghyp/R/ghypInternals.R
ghyp/R/ghypMethods.R
ghyp/R/ghypWrappers.R
ghyp/build
ghyp/build/vignette.rds
ghyp/data
ghyp/data/indices.rda
ghyp/data/smi.stocks.rda
ghyp/inst
ghyp/inst/doc
ghyp/inst/doc/Generalized_Hyperbolic_Distribution.R
ghyp/inst/doc/Generalized_Hyperbolic_Distribution.Rnw
ghyp/inst/doc/Generalized_Hyperbolic_Distribution.pdf
ghyp/man
ghyp/man/coef-method.Rd
ghyp/man/fit.ghypmv.Rd
ghyp/man/fit.ghypuv.Rd
ghyp/man/ghyp-constructors.Rd
ghyp/man/ghyp-distribution.Rd
ghyp/man/ghyp-get.Rd
ghyp/man/ghyp-internal.Rd
ghyp/man/ghyp-mle.ghyp-classes.Rd
ghyp/man/ghyp-package.Rd
ghyp/man/ghyp-risk-performance.Rd
ghyp/man/ghyp.moment.Rd
ghyp/man/gig-distribution.Rd
ghyp/man/hist-methods.Rd
ghyp/man/indices.Rd
ghyp/man/lik.ratio.test.Rd
ghyp/man/logLik-AIC-methods.Rd
ghyp/man/mean-vcov-skew-kurt-methods.Rd
ghyp/man/pairs-methods.Rd
ghyp/man/plot-lines-methods.Rd
ghyp/man/portfolio.optimize.Rd
ghyp/man/qq-ghyp.Rd
ghyp/man/scale-methods.Rd
ghyp/man/smi.stocks.Rd
ghyp/man/stepAIC.ghyp.Rd
ghyp/man/summary-method.Rd
ghyp/man/transform-extract-methods.Rd
ghyp/src
ghyp/src/rgig.c
ghyp/src/rgig.h
ghyp/vignettes
ghyp/vignettes/Generalized_Hyperbolic_Distribution.Rnw
ghyp/vignettes/ghypCommands.sty
ghyp/vignettes/ludabib.bib