Package: ghyp
Type: Package
Version: 1.6.5
Date: 2024-08-13
Title: Generalized Hyperbolic Distribution and Its Special Cases
Author: Marc Weibel [aut, cre],
  David Luethi [aut],
  Henriette-Elise Breymann [aut]
Authors@R: c(person(given = "Marc",
                    family = "Weibel",
                    role = c("aut", "cre"),
                    email = "marc.weibel@quantsulting.ch"),
             person(given = "David",
                    family = "Luethi",
                    role = "aut"),
             person(given = "Henriette-Elise",
                    family = "Breymann",
                    role = "aut"))
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: UTF-8
Repository: CRAN
NeedsCompilation: yes
RoxygenNote: 7.1.0
Packaged: 2024-08-26 12:15:58 UTC; marc
Date/Publication: 2024-08-26 12:50:07 UTC
Built: R 4.4.3; x86_64-w64-mingw32; 2026-04-13 00:56:50 UTC; windows
Archs: x64
