ghyp (1.5.7)

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A Package on Generalized Hyperbolic Distribution and Its Special Cases.

http://cran.r-project.org/web/packages/ghyp

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.

Maintainer: Marc Weibel
Author(s): David Luethi, Wolfgang Breymann

License: GPL (>= 2)

Uses: gplots, numDeriv
Reverse depends: sharpeRratio
Reverse suggests: ecd

Released 10 months ago.


8 previous versions

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