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ghyp (version 0.9.3)

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

918

Version

0.9.3

License

GPL (GNU Public Licence), Version 2 or later

Maintainer

David Lthi

Last Published

August 26th, 2024

Functions in ghyp (0.9.3)

Generalized Hyperbolic Distribution

The Generalized Hyperbolic Distribution
fit.ghypmv

Fitting generalized hyperbolic distributions to multivariate data
Generalized Inverse Gaussian

The Generalized Inverse Gaussian Distribution
mle.ghypuv-class

Class mle.ghypuv
ghyp-internal

Internal ghyp functions
Expected value and variance

Expected value and variance-covariance of generalized hyperbolic distributions
ghyp

Create generalized hyperbolic distribution objects
ghyp object data

Get methods for objects inheriting from class ghypbase
redim

Extract dimensions of multivariate generalized hyperbolic distributions
lin.transf

Linear transformation of generalized hyperbolic distributed random numbers
portfolio.optimize

Portfolio optimization given a multivariate generalized hyperbolic distribution
stepAIC.ghyp

Perform a model selection based on the AIC
pairs.ghypmv

Pairs plot for multivariate generalized hyperbolic distributions
ghypmv-class

Class ghypmv
mle.ghypmv-class

Class mle.ghypmv
qqghyp

Quantile-Quantile Plot
smi.stocks

Daily returns of five swiss blue chips and the SMI
hist.ghypuv

Histogram for univariate generalized hyperbolic distributions
ghyp-package

A package on generalized hyperbolic distributions
fit.ghypuv

Fitting generalized hyperbolic distributions to univariate data
Log-Likelihood and Akaike's Information Criterion

Extract Log-Likelihood and Akaike's Information Criterion
ghypbase-class

Class ghypbase
ghypuv-class

Class ghypuv
ghyp moment computation

Compute moments of ghyp distributions