swMATH ID: 8162
Software Authors: David Luethi, Wolfgang Breymann
Description: R package ghyp: A package on the generalized hyperbolic distribution and its special cases. This package provides 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.
Homepage: http://cran.r-project.org/web/packages/ghyp/
Source Code:  https://github.com/cran/ghyp
Dependencies: R
Related Software: QRM; R; copula; sn; Rugarch; copula; Runuran; numDeriv; EMMIXskew; mixture; MixGHD; CopulaModel; ContaminatedMixt; VarianceGamma; CreditRisk+; HAC; CRAN; AS 287; UNU.RAN; CRAN Task Views
Cited in: 29 Documents

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