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ghyp
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]
[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)
Other packages that cited ghyp R package
View ghyp citation profile
Other R packages that ghyp depends,
imports, suggests or enhances
Functions, R codes and Examples using
the ghyp R package
Some associated functions: ESghyp.attribution . coef-method . fit.ghypmv . fit.ghypuv . ghyp-constructors . ghyp-distribution . ghyp-get . ghyp-internal . ghyp-mle.ghyp-classes . ghyp-package . ghyp-risk-performance . ghyp.attribution-class . ghyp.moment . gig-distribution . hist-methods . indices . lik.ratio.test . logLik-AIC-methods . mean-vcov-skew-kurt-methods . pairs-methods . plot-ghyp.attribution . plot-lines-methods . portfolio.optimize . qq-ghyp . scale-methods . smi.stocks . stepAIC.ghyp . summary-method . transform-extract-methods .
Some associated R codes: ghyp-attribution.R . ghypClasses.R . ghypConstructors.R . ghypFitting.R . ghypGIG.R . ghypGenericMethods.R . ghypInternals.R . ghypMethods.R . ghypPlots.R . ghypWrappers.R . Full ghyp package functions and examples
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