ghyp
swMATH8162CRANghypMaRDI QIDQ20172
Generalized Hyperbolic Distribution and Its Special Cases
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
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).
