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ghyp (version 0.9.2)

A package on generalized hyperbolic distributions

Description

This package provides all about univariate and multivariate generalized hyperbolic distributions and its special cases (Hyperbolic, Normal Inverse Gaussian, Variance Gamma and skewed Student-t distribution). Especially fitting procedures, computation of the density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines. In addition the generalized inverse gaussian distribution is contained in this package.

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Version

Install

install.packages('ghyp')

Monthly Downloads

1,105

Version

0.9.2

License

GPL (GNU Public Licence), Version 2 or later

Maintainer

David Lthi

Last Published

August 26th, 2024

Functions in ghyp (0.9.2)

portfolio.optimize

Portfolio optimization given a multivariate generalized hyperbolic distribution
fit.ghypuv

Fitting generalized hyperbolic distributions to univariate data
ghyp get methods

Get methods for objects inheriting from class ghypbase
ghypbase-class

Class ghypbase
Generalized Inverse Gaussian

The Generalized Inverse Gaussian Distribution
redim

Extract dimensions of multivariate generalized hyperbolic distributions
fit.ghypmv

Fitting generalized hyperbolic distributions to multivariate data
Generalized Hyperbolic Distribution

The Generalized Hyperbolic Distribution
mle.ghypmv-class

Class mle.ghypmv
ghyp-package

A package on generalized hyperbolic distributions
mle.ghypuv-class

Class mle.ghypuv
smi.stocks

Daily returns of five swiss blue chips and the SMI
stepAIC.ghyp

Perform a model selection based on the AIC
Log-Likelihood and Akaike's Information Criterion

Extract Log-Likelihood and Akaike's Information Criterion
qqghyp

Quantile-Quantile Plot
pairs.ghypmv

Pairs plot for multivariate generalized hyperbolic distributions
ghyp-internal

Internal ghyp functions
ghypuv-class

Class ghypuv
ghypmv-class

Class ghypmv
Expected value and variance

Expected value and variance-covariance of generalized hyperbolic distributions
hist.ghypuv

Histogram for univariate generalized hyperbolic distributions
lin.transf

Linear transformation of generalized hyperbolic distributed random numbers
ghyp

Create generalized hyperbolic distribution objects