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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 |
| Reference manual: | ghyp.pdf |
| Vignettes: |
Generalized Hyperbolic Distribution (source, R code) |
| Package source: | ghyp_1.6.5.tar.gz |
| Windows binaries: | r-devel: ghyp_1.6.5.zip, r-release: ghyp_1.6.5.zip, r-oldrel: ghyp_1.6.5.zip |
| macOS binaries: | r-release (arm64): ghyp_1.6.5.tgz, r-oldrel (arm64): ghyp_1.6.5.tgz, r-release (x86_64): ghyp_1.6.5.tgz, r-oldrel (x86_64): ghyp_1.6.5.tgz |
| Old sources: | ghyp archive |
| Reverse depends: | sharpeRratio |
| Reverse imports: | fitHeavyTail, MixGHD, StockDistFit, yuimaGUI |
| Reverse suggests: | ffp |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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