ghyp 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 all top 5 Cited by 60 Authors 3 Hörmann, Wolfgang 2 Bagnato, Luca 2 Leydold, Josef 2 Punzo, Antonio 2 Sak, Halis 2 Veraart, Almut E. D. 1 Afuecheta, Emmanuel 1 Amiri, Mehdi 1 Arslan, Olcay 1 Barndorff-Nielsen, Ole Eiler 1 Bee, Marco 1 Benth, Fred Espen 1 Billio, Monica 1 Browne, Ryan P. 1 Chan, Jennifer So Kuen 1 Chan, Stephen Chi-fai 1 Das, Sourish 1 Derflinger, Gerhard 1 Devroye, Luc P. J. A. 1 Dey, Dipak Kumar 1 Dickson, Maria Michela 1 Dingeç, Kemal Dinçer 1 Fabrizi, Enrico 1 Fischer, Matthias 1 Fotopoulos, Stergios B. 1 Frattarolo, Lorenzo 1 Guégan, Dominique 1 Halder, Aritra 1 Jakob, Kevin 1 Jamalizadeh, Ahad 1 Jandhyala, Venkata K. 1 Lee, Sharon X. 1 Li, Zihao 1 Luo, Ji 1 Masuda, Hiroki 1 Mattei, Pierre-Alexandre 1 McLachlan, Geoffrey John 1 McNicholas, Paul D. 1 Mercuri, Lorenzo 1 Murray, Paula M. 1 Nadarajah, Saralees 1 Nitithumbundit, Thanakorn 1 Paparas, Alex 1 Rameseder, Gunther 1 Roozegar, Roohollah 1 Rubio, Francisco Javier 1 Santi, Flavio 1 Shan, Ang 1 Shiraya, Kenichiro 1 Trivisano, Carlo 1 Uehara, Yuma 1 Uenishi, Hiroki 1 Villa, Cristiano 1 Wozabal, David 1 Yamazaki, Akira 1 Yang, Fengkai 1 Yao, Jing 1 Yoshiba, Toshinao 1 Yu, Yaming 1 Yuan, Haijing all top 5 Cited in 16 Serials 4 European Journal of Operational Research 3 Journal of Multivariate Analysis 3 Communications in Statistics. Simulation and Computation 2 Statistics & Probability Letters 2 Journal of Statistical Computation and Simulation 2 Methodology and Computing in Applied Probability 2 Dependence Modeling 1 Scandinavian Journal of Statistics 1 Journal of Computational and Applied Mathematics 1 Computational Statistics and Data Analysis 1 Statistical Papers 1 Bernoulli 1 Statistical Methods and Applications 1 Electronic Journal of Statistics 1 Sankhyā. Series A 1 Statistics and Computing all top 5 Cited in 6 Fields 22 Statistics (62-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Probability theory and stochastic processes (60-XX) 5 Numerical analysis (65-XX) 1 Approximations and expansions (41-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year