ghyp (1.5.8)

0 users

Generalized Hyperbolic Distribution and Its Special Cases.

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. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management: Concepts, techniques and tools. Princeton University Press, Princeton (2005).

Maintainer: Damien Challet
Author(s): David Luethi, Wolfgang Breymann

License: GPL (>= 2)

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

Released 5 days ago.

9 previous versions



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of ghyp yet. Want to be the first? Write one now.

Related packages: actuar, copula, fBasics, fCopulae, fgac, mvtnorm, fExtremes, BenfordTests, FatTailsR, frmqa, circular, CompQuadForm, AdMit, bayesm, BiasedUrn, compoisson, Davies, distr, distrDoc, distrEx(20 best matches, based on common tags.)

Search for ghyp on google, google scholar, r-help, r-devel.

Visit ghyp on R Graphical Manual.