ghyp: A package on generalized hyperbolic distributions
نویسندگان
چکیده
In this document the generalized hyperbolic (GH) distribution is explained to the extent which is required to understand the internals of the R package ghyp. Essentially, the density and moment generating functions of the GH distribution and its special cases are provided together with some important properties of the GH family. In addition the algorithm underlying the fitting procedure for the multivariate GH distribution is explained. Then we shed light on how to switch between different parametrizations of the GH distribution. In the appendix we describe the generalized inverse Gaussian distribution and give some useful facts regarding the modified Bessel function of the third kind. Finally, we write on the design on the package ghyp and give some code chunks which indicate how the software can be used.
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