CRAN

ghyp 1.5.7

A Package on Generalized Hyperbolic Distribution and Its Special Cases

Released Aug 17, 2016 by Marc Weibel

This package can be loaded by Renjin but 9 out 24 tests failed.

Dependencies

numDeriv 2016.8-1 gplots 3.0.1

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.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>ghyp</artifactId>
    <version>1.5.7-b38</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:ghyp')

Test Results

This package was last tested against Renjin 0.9.2709 on Nov 8, 2018.

Source

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Release History