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ghyp  

Generalized Hyperbolic Distribution and Its Special Cases
View on CRAN: Click here


Download and install ghyp package within the R console
Install from CRAN:
install.packages("ghyp")

Install from Github:
library("remotes")
install_github("cran/ghyp")

Install by package version:
library("remotes")
install_version("ghyp", "1.6.4")



Attach the package and use:
library("ghyp")
Maintained by
Marc Weibel
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2007-02-28
Latest Update: 2023-08-21
Description:
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).
How to cite:
Marc Weibel (2007). ghyp: Generalized Hyperbolic Distribution and Its Special Cases. R package version 1.6.4, https://cran.r-project.org/web/packages/ghyp
Previous versions and publish date:
0.8.3 (2007-02-28 15:33), 0.9.0 (2007-04-05 21:02), 0.9.2 (2007-06-11 21:15), 0.9.3 (2007-07-07 20:52), 1.0.0 (2007-09-21 17:19), 1.1.0 (2008-02-05 21:36), 1.2.0 (2008-03-07 17:51), 1.3.0 (2008-07-08 18:50), 1.4.0 (2008-10-29 11:47), 1.5.0 (2008-11-27 12:31), 1.5.1 (2009-05-24 10:36), 1.5.2 (2009-10-11 16:41), 1.5.3 (2010-07-03 18:31), 1.5.4 (2010-12-01 09:01), 1.5.5 (2012-01-15 12:39), 1.5.6 (2013-02-05 11:27), 1.5.7 (2016-08-17 11:01), 1.5.8 (2020-01-23 14:40), 1.5.9 (2020-02-03 22:30), 1.6.0 (2020-04-21 14:30), 1.6.1 (2020-05-05 14:40), 1.6.2 (2022-05-09 12:10), 1.6.3 (2022-11-02 13:00)
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