DistributionUtils: Distribution Utilities. This package contains utilities which are of use in the packages I have developed for dealing with distributions. Currently these packages are GeneralizedHyperbolic, VarianceGamma, and SkewHyperbolic and NormalLaplace. Each of these packages requires DistributionUtils. Functionality includes sample skewness and kurtosis, log-histogram, tail plots, moments by integration, changing the point about which a moment is calculated, functions for testing distributions using inversion tests and the Massart inequality. Also includes an implementation of the incomplete Bessel K function.
Keywords for this software
References in zbMATH (referenced in 1 article )
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- Scott, David J.; Würtz, Diethelm; Dong, Christine; Tran, Thanh Tam: Moments of the generalized hyperbolic distribution (2011)