Generalized Hyperbolic Distribution and Its Special Cases

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).


Reference manual

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1.6.1 by Marc Weibel, 2 years ago

Browse source code at

Authors: Marc Weibel , David Luethi , Wolfgang Breymann

Documentation:   PDF Manual  

Task views: Probability Distributions, Empirical Finance

GPL (>= 2) license

Depends on methods, numDeriv, graphics, stats, MASS

Imported by BayesLN, MixGHD, yuimaGUI.

Depended on by sharpeRratio.

Suggested by ecd.

See at CRAN