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DESCRIPTION
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DESCRIPTION
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Package: ghyp
Type: Package
Version: 1.5.6
Date: 2013-02-04
Title: A package on the generalized hyperbolic distribution and its special cases
Author: David Luethi, Wolfgang Breymann
Maintainer: David Luethi <luethid@gmail.com>
LazyData: no
Depends: R(>= 2.7), methods, numDeriv, graphics, stats, gplots
Description: 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.
License: GPL (>= 2)
Encoding: latin1