Generalized Hyperbolic Distribution and Its Special Cases

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Documentation for package ‘ghyp’ version 1.6.5

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

ghyp-package	A package on the generalized hyperbolic distribution and its special cases
AIC-method	Extract Log-Likelihood and Akaike's Information Criterion
AIC.mle.ghyp	Extract Log-Likelihood and Akaike's Information Criterion
coef-method	Extract parameters of generalized hyperbolic distribution objects
coef.ghyp	Extract parameters of generalized hyperbolic distribution objects
coefficients-method	Extract parameters of generalized hyperbolic distribution objects
contribution	Class ghyp.attribution
contribution-method	Class ghyp.attribution
dghyp	The Generalized Hyperbolic Distribution
dgig	The Generalized Inverse Gaussian Distribution
Egig	The Generalized Inverse Gaussian Distribution
ESghyp	Risk and Performance Measures
ESghyp.attribution	Risk attribution.
ESgig	The Generalized Inverse Gaussian Distribution
fit.gaussmv	Fitting generalized hyperbolic distributions to multivariate data
fit.gaussuv	Fitting generalized hyperbolic distributions to univariate data
fit.ghypmv	Fitting generalized hyperbolic distributions to multivariate data
fit.ghypuv	Fitting generalized hyperbolic distributions to univariate data
fit.hypmv	Fitting generalized hyperbolic distributions to multivariate data
fit.hypuv	Fitting generalized hyperbolic distributions to univariate data
fit.NIGmv	Fitting generalized hyperbolic distributions to multivariate data
fit.NIGuv	Fitting generalized hyperbolic distributions to univariate data
fit.tmv	Fitting generalized hyperbolic distributions to multivariate data
fit.tuv	Fitting generalized hyperbolic distributions to univariate data
fit.VGmv	Fitting generalized hyperbolic distributions to multivariate data
fit.VGuv	Fitting generalized hyperbolic distributions to univariate data
gauss	Create generalized hyperbolic distribution objects
ghyp	Create generalized hyperbolic distribution objects
ghyp-class	Classes ghyp and mle.ghyp
ghyp.ad	Create generalized hyperbolic distribution objects
ghyp.attribution-class	Class ghyp.attribution
ghyp.data	Get methods for objects inheriting from class ghyp
ghyp.dim	Get methods for objects inheriting from class ghyp
ghyp.fit.info	Get methods for objects inheriting from class ghyp
ghyp.kurtosis	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
ghyp.moment	Compute moments of generalized hyperbolic distributions
ghyp.name	Get methods for objects inheriting from class ghyp
ghyp.omega	Risk and Performance Measures
ghyp.skewness	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
hist-method	Histogram for univariate generalized hyperbolic distributions
hist-methods	Histogram for univariate generalized hyperbolic distributions
hist.ghyp	Histogram for univariate generalized hyperbolic distributions
hyp	Create generalized hyperbolic distribution objects
hyp.ad	Create generalized hyperbolic distribution objects
indices	Monthly returns of five indices
lik.ratio.test	Likelihood-ratio test
lines-method	Plot univariate generalized hyperbolic densities
lines-methods	Plot univariate generalized hyperbolic densities
lines.ghyp	Plot univariate generalized hyperbolic densities
logLik-method	Extract Log-Likelihood and Akaike's Information Criterion
logLik.mle.ghyp	Extract Log-Likelihood and Akaike's Information Criterion
mean-method	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
mean-methods	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
mean.ghyp	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
mle.ghyp-class	Classes ghyp and mle.ghyp
NIG	Create generalized hyperbolic distribution objects
NIG.ad	Create generalized hyperbolic distribution objects
pairs-method	Pairs plot for multivariate generalized hyperbolic distributions
pairs-methods	Pairs plot for multivariate generalized hyperbolic distributions
pairs.ghyp	Pairs plot for multivariate generalized hyperbolic distributions
pghyp	The Generalized Hyperbolic Distribution
pgig	The Generalized Inverse Gaussian Distribution
plot-method	Plot ES contribution
plot-method	Plot univariate generalized hyperbolic densities
plot-methods	Plot univariate generalized hyperbolic densities
plot.ghyp	Plot univariate generalized hyperbolic densities
plot.ghyp.attrib	Plot ES contribution
portfolio.optimize	Portfolio optimization with respect to alternative risk measures
qghyp	The Generalized Hyperbolic Distribution
qgig	The Generalized Inverse Gaussian Distribution
qqghyp	Quantile-Quantile Plot
rghyp	The Generalized Hyperbolic Distribution
rgig	The Generalized Inverse Gaussian Distribution
scale-method	Scaling and Centering of ghyp Objects
scale.ghyp	Scaling and Centering of ghyp Objects
sensitivity	Class ghyp.attribution
sensitivity-method	Class ghyp.attribution
show-method	Classes ghyp and mle.ghyp
show.ghyp	Classes ghyp and mle.ghyp
show.mle.ghyp	Classes ghyp and mle.ghyp
smi.stocks	Daily returns of five swiss blue chips and the SMI
stepAIC.ghyp	Perform a model selection based on the AIC
student.t	Create generalized hyperbolic distribution objects
student.t.ad	Create generalized hyperbolic distribution objects
summary-method	mle.ghyp summary
summary-methods	mle.ghyp summary
summary.mle.ghyp	mle.ghyp summary
transform-method	Linear transformation and extraction of generalized hyperbolic distributions
transform.ghyp	Linear transformation and extraction of generalized hyperbolic distributions
vcov-method	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
vcov-methods	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
vcov.ghyp	Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
VG	Create generalized hyperbolic distribution objects
VG.ad	Create generalized hyperbolic distribution objects
weights-method	Class ghyp.attribution
[-method	Linear transformation and extraction of generalized hyperbolic distributions
[.ghyp	Linear transformation and extraction of generalized hyperbolic distributions