Learn R Programming
⚠️There's a newer version (1.6.5) of this package.Take me there.

Overview

ghyp is a package on the Generalized Hyperbolic Distribution and Its Special Cases

Installation

# The easiest way to get ghyp is to install it via the development version from GitHub:
# install.packages("devtools")
devtools::install_github("quantsulting/ghyp", build_vignettes = TRUE)

Copy Link

Version

Install

install.packages('ghyp')

Monthly Downloads

726

Version

1.6.1

License

GPL (>= 2)

Maintainer

Marc Weibel

Last Published

May 5th, 2020

Functions in ghyp (1.6.1)

ghyp-internal

Internal ghyp functions
ghyp-get

Get methods for objects inheriting from class ghyp
ghyp-constructors

Create generalized hyperbolic distribution objects
ghyp-mle.ghyp-classes

Classes ghyp and mle.ghyp
fit.ghypmv

Fitting generalized hyperbolic distributions to multivariate data
ghyp.moment

Compute moments of generalized hyperbolic distributions
ghyp-distribution

The Generalized Hyperbolic Distribution
pairs-methods

Pairs plot for multivariate generalized hyperbolic distributions
hist-methods

Histogram for univariate generalized hyperbolic distributions
plot-ghyp.attribution

Plot ES contribution
fit.ghypuv

Fitting generalized hyperbolic distributions to univariate data
coef-method

Extract parameters of generalized hyperbolic distribution objects
logLik-AIC-methods

Extract Log-Likelihood and Akaike's Information Criterion
ESghyp.attribution

Risk attribution.
ghyp-package

A package on the generalized hyperbolic distribution and its special cases
transform-extract-methods

Linear transformation and extraction of generalized hyperbolic distributions
plot-lines-methods

Plot univariate generalized hyperbolic densities
mean-vcov-skew-kurt-methods

Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
lik.ratio.test

Likelihood-ratio test
smi.stocks

Daily returns of five swiss blue chips and the SMI
gig-distribution

The Generalized Inverse Gaussian Distribution
scale-methods

Scaling and Centering of ghyp Objects
ghyp-risk-performance

Risk and Performance Measures
portfolio.optimize

Portfolio optimization with respect to alternative risk measures
ghyp.attribution-class

Class ghyp.attribution
indices

Monthly returns of five indices
stepAIC.ghyp

Perform a model selection based on the AIC
qq-ghyp

Quantile-Quantile Plot
summary-method

mle.ghyp summary