ghyp (Q20172)
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Generalized Hyperbolic Distribution and Its Special Cases
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | ghyp |
Generalized Hyperbolic Distribution and Its Special Cases |
Statements
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).
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expanded from: GPL (≥ 2) (English)
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26 August 2024
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David Luethi
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Henriette-Elise Breymann
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Identifiers
30 August 2023
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