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 Studentt and Gaussian distribution). Especially, it contains fitting procedures, an AICbased 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 


Author  David Luethi, Wolfgang Breymann 
Date of publication  20141111 12:08:56 
Maintainer  David Luethi <[email protected]> 
License  GPL (>= 2) 
Version  1.5.6 
Package repository  View on RForge 
Installation 
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