ghyp

swMATH8162CRANghypMaRDI QIDQ20172

Generalized Hyperbolic Distribution and Its Special Cases

Marc Weibel

Last update: 21 August 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.6.3, 0.8.3, 0.9.0, 0.9.2, 0.9.3, 1.0.0, 1.1.0, 1.2.0, 1.3.0, 1.4.0, 1.5.0, 1.5.1, 1.5.2, 1.5.3, 1.5.4, 1.5.5, 1.5.6, 1.5.7, 1.5.8, 1.5.9, 1.6.0, 1.6.1, 1.6.2, 1.6.4

Source code repository: https://github.com/cran/ghyp

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).