GeneralizedHyperbolic: The Generalized Hyperbolic Distribution. This package provides functions for the hyperbolic and related distributions. Density, distribution and quantile functions and random number generation are provided for the hyperbolic distribution, the generalized hyperbolic distribution, the generalized inverse Gaussian distribution and the skew-Laplace distribution. Additional functionality is provided for the hyperbolic distribution, normal inverse Gaussian distribution and generalized inverse Gaussian distribution, including fitting of these distributions to data. Linear models with hyperbolic errors may be fitted using hyperblmFit.
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References in zbMATH (referenced in 3 articles )
Showing results 1 to 3 of 3.
- Gerhart, Christoph: A multiple-curve Lévy forward rate model in a two-price economy (2016)
- Yee, Thomas W.; Hadi, Alfian F.: Row-column interaction models, with an R implementation (2014)
- Scott, David J.; Würtz, Diethelm; Dong, Christine; Tran, Thanh Tam: Moments of the generalized hyperbolic distribution (2011)