Package: ghyp
Type: Package
Version: 1.5.9
Date: 2020-02-03
Title: Generalized Hyperbolic Distribution and Its Special Cases
Author: David Luethi, Wolfgang Breymann
Maintainer: Damien Challet <damien.challet@gmail.com>
LazyData: no
Depends: R(>= 2.7), methods, numDeriv, graphics, stats, MASS
Description: 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).
License: GPL (>= 2)
Encoding: latin1
Repository: CRAN
NeedsCompilation: yes
RoxygenNote: 7.0.2
Packaged: 2020-02-03 19:20:27 UTC; damien
Date/Publication: 2020-02-03 21:30:02 UTC

Package: ghyp
Type: Package
Version: 1.6.0
Date: 2020-04-21
Title: Generalized Hyperbolic Distribution and Its Special Cases
Author: David Luethi, Marc Weibel, Wolfgang Breymann
Maintainer: Marc Weibel <marc.weibel@quantsulting.ch>
LazyData: no
Depends: R(>= 2.7), methods, numDeriv, graphics, stats, MASS
Description: 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).
License: GPL (>= 2)
Encoding: latin1
Repository: CRAN
NeedsCompilation: yes
RoxygenNote: 7.0.2
Packaged: 2020-04-21 09:13:19 UTC; weibe
Date/Publication: 2020-04-21 12:30:06 UTC