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).
Version: 1.6.5 Depends: R (≥ 2.7), methods, numDeriv, graphics, stats, MASS Published: 2024-08-26 DOI: 10.32614/CRAN.package.ghyp Author: Marc Weibel [aut, cre], David Luethi [aut], Henriette-Elise Breymann [aut] Maintainer: Marc Weibel <marc.weibel at quantsulting.ch> License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] NeedsCompilation: yes Materials: README, ChangeLog In views: Distributions, Finance CRAN checks: ghyp results Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=ghyp to link to this page.
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