The Variance Gamma Distribution

Provides functions for the variance gamma distribution. Density, distribution and quantile functions. Functions for random number generation and fitting of the variance gamma to data. Also, functions for computing moments of the variance gamma distribution of any order about any location. In addition, there are functions for checking the validity of parameters and to interchange different sets of parameterizations for the variance gamma distribution.


Reference manual

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0.4-0 by David Scott, 3 years ago

Browse source code at

Authors: David Scott <[email protected]> and Christine Yang Dong <[email protected]>

Documentation:   PDF Manual  

Task views: Probability Distributions

GPL (>= 2) license

Imports grDevices, graphics, stats, DistributionUtils, GeneralizedHyperbolic

Suggests RUnit

Suggested by DistributionUtils, GeneralizedHyperbolic, HyperbolicDist, fitteR.

See at CRAN