ghyp: A package on the generalized hyperbolic distribution and its special cases

This package provides 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.

Version: 1.5.6
Depends: R (≥ 2.7), methods, numDeriv, graphics, stats, gplots
Published: 2013-02-05
Author: David Luethi, Wolfgang Breymann
Maintainer: David Luethi <luethid at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: ChangeLog
In views: Distributions, Finance
CRAN checks: ghyp results

Downloads:

Reference manual: ghyp.pdf
Vignettes: Generalized Hyperbolic Distribution
Package source: ghyp_1.5.6.tar.gz
OS X binary: ghyp_1.5.6.tgz
Windows binary: ghyp_1.5.6.zip
Old sources: ghyp archive