ghyp

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).

Last 30 days

This package has been downloaded 1,125 times in the last 30 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 27 times.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 12,470 times in the last 365 days. The downloads are officially high enough to crash an underfunded departmental server. Quite an accomplishment! The day with the most downloads was Apr 25, 2024 with 147 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.