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ghyp (version 1.1.0)

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

1.1.0

License

GPL (GNU Public Licence), Version 2 or later

Maintainer

David Luethi

Last Published

August 26th, 2024

Functions in ghyp (1.1.0)

stepAIC.ghyp

Perform a model selection based on the AIC
plot-lines-methods

Plot univariate generalized hyperbolic densities
ghyp-deprecated

Deprecated Functions in ghyp package
ghyp-data

Get methods for objects inheriting from class ghypbase
ghyp-mle.ghyp-classes

Classes ghyp and mle.ghyp
ghyp-package

A package on generalized hyperbolic distributions
lik.ratio.test

Likelihood-ratio test
pairs-methods

Pairs plot for multivariate generalized hyperbolic distributions
ghyp-constructors

Create generalized hyperbolic distribution objects
gig-distribution

The Generalized Inverse Gaussian Distribution
transform-extract-methods

Linear transformation and extraction of generalized hyperbolic distributions
portfolio.optimize

Portfolio optimization given a multivariate generalized hyperbolic distribution
ghyp-distribution

The Generalized Hyperbolic Distribution
qq-ghyp

Quantile-Quantile Plot
fit.ghypuv

Fitting generalized hyperbolic distributions to univariate data
mean-vcov-methods

Expected value and variance-covariance of generalized hyperbolic distributions
hist-methods

Histogram for univariate generalized hyperbolic distributions
fit.ghypmv

Fitting generalized hyperbolic distributions to multivariate data
coef-methods

Extract parameters of generalized hyperbolic distribution objects
ghyp-internal

Internal ghyp functions
ghyp.moments

Compute moments of generalized hyperbolic distributions
summary-methods

mle.ghyp summary
smi.stocks

Daily returns of five swiss blue chips and the SMI
logLik-AIC-methods

Extract Log-Likelihood and Akaike's Information Criterion