ghyp
Software:20172
swMATH8162CRANghypMaRDI QIDQ20172
Generalized Hyperbolic Distribution and Its Special Cases
Author name not available (Why is that?)
Last update: 21 August 2023
Copyright license: No records found.
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).
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