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variance-gamma

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s-broda / QuadraticFormsMGHyp.jl

A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

variance-gamma value-at-risk partial-moments expected-shortfall saddlepoint-approximation normal-inverse-gaussian quadratic-forms imhof tail-probabilities generalized-hyperbolic-distribution students-t inversion-formula

Updated Mar 1, 2024
Julia

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