summary.mle.ghyp

summary-methods

summary,mle.ghyp-method

Produces a formatted output of a fitted generalized hyperbolic
 distribution.

methods

summary-method

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).

Marc Weibel

ghyp

Generalized Hyperbolic Distribution and Its Special Cases

David Luethi

Henriette-Elise Breymann

summary-method function

<dl> <dt>object</dt>
<dd>An object of class <code>mle.ghyp</code>.</dd></dl>

Arguments

Author

Produces a formatted output of a fitted generalized hyperbolic
 distribution.

mle.ghyp summary — summary-method

<dl>

 <dt>object</dt>
<dd>An object of class <code>mle.ghyp</code>.</dd>

</dl>

summary-method: mle.ghyp summary

Description

Usage

Value

Arguments

Author

See Also

Examples