VarianceGamma
swMATH11603CRANVarianceGammaMaRDI QIDQ23543FDOQ23543
The Variance Gamma Distribution
Last update: 25 November 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.4-0, 0.1-2, 0.2-1, 0.3-0, 0.3-1, 0.4-2
Source code repository: https://github.com/cran/VarianceGamma
Provides functions for the variance gamma distribution. Density, distribution and quantile functions. Functions for random number generation and fitting of the variance gamma to data. Also, functions for computing moments of the variance gamma distribution of any order about any location. In addition, there are functions for checking the validity of parameters and to interchange different sets of parameterizations for the variance gamma distribution.
Cited In (6)
- Title not available (Why is that?)
- Moments of the generalized hyperbolic distribution
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- Cyber risk ordering with rank-based statistical models
- Noise inference for ergodic Lévy driven SDE
- Likelihood-based risk estimation for variance-gamma models
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