ghyp (Q20172): Difference between revisions

← Older edit

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+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).
+Normal rank
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+Software:20172

Latest revision as of 16:29, 21 March 2024

Generalized Hyperbolic Distribution and Its Special Cases

Language	Label	Description	Also known as
English	ghyp	Generalized Hyperbolic Distribution and Its Special Cases

Statements

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software version identifier

1.6.3

publication date

2 November 2022

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0.8.3

publication date

28 February 2007

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0.9.0

publication date

5 April 2007

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0.9.2

publication date

11 June 2007

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0.9.3

publication date

7 July 2007

0 references

1.0.0

publication date

21 September 2007

0 references

1.1.0

publication date

5 February 2008

0 references

1.2.0

publication date

7 March 2008

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1.3.0

publication date

8 July 2008

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1.4.0

publication date

29 October 2008

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1.5.0

publication date

27 November 2008

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1.5.1

publication date

24 May 2009

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1.5.2

publication date

11 October 2009

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1.5.3

publication date

3 July 2010

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1.5.4

publication date

1 December 2010

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1.5.5

publication date

15 January 2012

0 references

1.5.6

publication date

5 February 2013

0 references

1.5.7

publication date

17 August 2016

0 references

1.5.8

publication date

23 January 2020

0 references

1.5.9

publication date

3 February 2020

0 references

1.6.0

publication date

21 April 2020

0 references

1.6.1

publication date

5 May 2020

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1.6.2

publication date

9 May 2022

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1.6.4

publication date

21 August 2023

0 references

0 references

0 references

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MaRDI software profile

0 references

last update

21 August 2023

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description

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).

0 references

author

Marc Weibel

0 references

copyright license

GNU General Public License, version 2.0

0 references

GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)

0 references

depends on software