Package: GeneralizedHyperbolic 0.8-6

David Scott

GeneralizedHyperbolic: The Generalized Hyperbolic Distribution

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.

Authors:David Scott <[email protected]>

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GeneralizedHyperbolic.pdf |GeneralizedHyperbolic.html✨
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NEWS

# Install 'GeneralizedHyperbolic' in R:
install.packages('GeneralizedHyperbolic', repos = c('https://r-forge.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://r-forge.r-project.org/projects/rmetrics

Datasets:
  • ArkansasRiver - Soil Electrical Conductivity
  • SandP500 - S&P 500
  • ghypLargeParam - Parameter Sets for the Generalized Hyperbolic Distribution
  • ghypLargeShape - Parameter Sets for the Generalized Hyperbolic Distribution
  • ghypSmallParam - Parameter Sets for the Generalized Hyperbolic Distribution
  • ghypSmallShape - Parameter Sets for the Generalized Hyperbolic Distribution
  • gigLargeParam - Parameter Sets for the Generalized Inverse Gaussian Distribution
  • gigSmallParam - Parameter Sets for the Generalized Inverse Gaussian Distribution
  • hyperbLargeParam - Parameter Sets for the Hyperbolic Distribution
  • hyperbLargeShape - Parameter Sets for the Hyperbolic Distribution
  • hyperbSmallParam - Parameter Sets for the Hyperbolic Distribution
  • hyperbSmallShape - Parameter Sets for the Hyperbolic Distribution
  • mamquam - Size of Gravels from Mamquam River
  • nervePulse - Intervals Between Pulses Along a Nerve Fibre
  • nigLargeParam - Parameter Sets for the Normal Inverse Gaussian Distribution
  • nigLargeShape - Parameter Sets for the Normal Inverse Gaussian Distribution
  • nigSmallParam - Parameter Sets for the Normal Inverse Gaussian Distribution
  • nigSmallShape - Parameter Sets for the Normal Inverse Gaussian Distribution
  • resistors - Resistance of One-half-ohm Resistors
  • traffic - Intervals Between Vehicles on a Road

On CRAN:

8.59 score 1 stars 26 packages 125 scripts 13k downloads 146 exports 2 dependencies

Last updated 13 days agofrom:8f3970af90. Checks:OK: 5 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 14 2024
R-4.5-winNOTEDec 14 2024
R-4.5-linuxNOTEDec 14 2024
R-4.4-winOKDec 14 2024
R-4.4-macOKDec 14 2024
R-4.3-winOKDec 14 2024
R-4.3-macOKDec 14 2024

Exports:coef.gigFitcoef.hyperbFitcoef.hyperblmcoef.nigFitddghypddgigddhyperbddnigdghypdgigdgigScaleddhyperbdnigdsghypdshyperbdskewlapgammaLambda1gammaLambda2gammaRawMomghypCalcRangeghypChangeParsghypCheckParsghypKurtghypLargeParamghypLargeShapeghypMeanghypModeghypMomghypMomBNSghypScaleghypSkewghypSmallParamghypSmallShapeghypStandParsghypVargigCalcRangegigChangeParsgigCheckParsgigFitgigFitStartgigFitStartLMgigFitStartMoMgigHessiangigKurtgigLargeParamgigMeangigModegigMomgigRawMomgigSkewgigSmallParamgigVarhyperbCalcRangehyperbChangeParshyperbCvMTesthyperbCvMTestPValuehyperbFithyperbFitStandhyperbFitStandStarthyperbFitStarthyperbFitStartMoMhyperbHessianhyperbKurthyperbLargeParamhyperbLargeShapehyperblmhyperblmFithyperbMeanhyperbModehyperbSkewhyperbSmallParamhyperbSmallShapehyperbStandParshyperbVarhyperbWSqTablekappaLambdaMLambdamomRecursionnigCalcRangenigFitnigFitStartnigFitStartMoMnigHessiannigKurtnigLargeParamnigLargeShapenigMeannigModenigSkewnigSmallParamnigSmallShapenigVarpghyppgigphyperbplot.gigFitplot.hyperbFitplot.hyperblmplot.nigFitplotShapeTrianglepnigppghypppgigpphyperbppnigppskewlapprint.gigFitprint.hyperbCvMTestprint.hyperbFitprint.hyperblmprint.nigFitprint.summary.gigFitprint.summary.hyperbFitprint.summary.hyperblmprint.summary.nigFitpskewlapqghypqgigqhyperbqnigqqghypqqgigqqhyperbqqnigqqskewlapqskewlaprghyprgigrgig1rhyperbRLambdarnigrskewlapSLambdasummary.gigFitsummary.hyperbFitsummary.hyperblmsummary.nigFitsumXvcov.gigFitvcov.hyperbFitvcov.nigFitWLambda1WLambda2WLambda3WLambda4

Dependencies:DistributionUtilsMASS

Readme and manuals

Help Manual

Help pageTopics
Soil Electrical ConductivityArkansasRiver
Functions for Calculating MomentsgammaLambda1 gammaLambda2 MLambda RLambda SLambda WLambda1 WLambda2 WLambda3 WLambda4
Generalized Inverse Gaussian Distributionddgig dgig pgig qgig rgig rgig1
The Package `GeneralizedHyperbolic': Summary InformationGeneralizedHyperbolic-package
Generalized Hyperbolic Distributionddghyp dghyp pghyp qghyp rghyp
Generalized Hyperbolic Quantile-Quantile and Percent-Percent Plotsppghyp qqghyp
Range of a Generalized Hyperbolic DistributionghypCalcRange
Change Parameterizations of the Generalized Hyperbolic DistributionghypChangePars
Check Parameters of the Generalized Hyperbolic DistributionghypCheckPars
Calculate Moments of the Generalized Hyperbolic DistributionghypMom
Parameter Sets for the Generalized Hyperbolic DistributionghypLargeParam ghypLargeShape ghypParam ghypSmallParam ghypSmallShape
Rescale a generalized hyperbolic distributionghypScale
Range of a Generalized Inverse Gaussian DistributiongigCalcRange
Change Parameterizations of the Generalized Inverse Gaussian DistributiongigChangePars
Check Parameters of the Generalized Inverse Gaussian DistributiongigCheckPars
Fit the Generalized Inverse Gausssian Distribution to Datacoef.gigFit gigFit plot.gigFit print.gigFit vcov.gigFit
Find Starting Values for Fitting a Generalized Inverse Gaussian DistributiongigFitStart gigFitStartLM gigFitStartMoM
Calculate Two-Sided Hessian for the Generalized Inverse Gaussian DistributiongigHessian
Calculate Moments of the Generalized Inverse Gaussian DistributiongammaRawMom gigMom gigRawMom
Parameter Sets for the Generalized Inverse Gaussian DistributiongigLargeParam gigParam gigSmallParam
Generalized Inverse Gaussian Quantile-Quantile and Percent-Percent Plotsppgig qqgig
Range of a Hyperbolic DistributionhyperbCalcRange
Change Parameterizations of the Hyperbolic DistributionhyperbChangePars
Cramer-von~Mises Test of a Hyperbolic DistributionhyperbCvMTest hyperbCvMTestPValue print.hyperbCvMTest
Fit the Hyperbolic Distribution to Datacoef.hyperbFit hyperbFit plot.hyperbFit print.hyperbFit vcov.hyperbFit
Find Starting Values for Fitting a Hyperbolic DistributionhyperbFitStart hyperbFitStartMoM
Calculate Two-Sided Hessian for the Hyperbolic DistributionhyperbHessian sumX
Fitting Linear Models with Hyperbolic Errorscoef.hyperblm hyperblm plot.hyperblm print.hyperblm
Hyperbolic Distributionddhyperb dhyperb phyperb qhyperb rhyperb
Parameter Sets for the Hyperbolic DistributionhyperbLargeParam hyperbLargeShape hyperbParam hyperbSmallParam hyperbSmallShape
Hyperbolic Quantile-Quantile and Percent-Percent Plotspphyperb qqhyperb
Percentage Points for the Cram'er-von Mises Test of the Hyperbolic DistributionhyperbWSqTable
Size of Gravels from Mamquam Rivermamquam
Computes the moment coefficients recursively for generalized hyperbolic and related distributionsmomRecursion
Intervals Between Pulses Along a Nerve FibrenervePulse
Normal Inverse Gaussian Distributionddnig dnig pnig qnig rnig
Range of a normal inverse Gaussian DistributionnigCalcRange
Fit the normal inverse Gaussian Distribution to Datacoef.nigFit nigFit plot.nigFit print.nigFit vcov.nigFit
Find Starting Values for Fitting a normal inverse Gaussian DistributionnigFitStart nigFitStartMoM
Calculate Two-Sided Hessian for the Normal Inverse Gaussian DistributionnigHessian
Parameter Sets for the Normal Inverse Gaussian DistributionnigLargeParam nigLargeShape nigParam nigSmallParam nigSmallShape
Normal inverse Gaussian Quantile-Quantile and Percent-Percent Plotsppnig qqnig
Plot the Shape TriangleplotShapeTriangle
Resistance of One-half-ohm Resistorsresistors
S&P 500SandP500
Skew-Laplace Distributiondskewlap pskewlap qskewlap rskewlap
Skew-Laplace Quantile-Quantile and Percent-Percent Plotsppskewlap qqskewlap
Moments and Mode of the Generalized Hyperbolic DistributionghypKurt ghypMean ghypMode ghypSkew ghypVar
Moments and Mode of the Generalized Inverse Gaussian DistributiongigKurt gigMean gigMode gigSkew gigVar
Moments and Mode of the Hyperbolic DistributionhyperbKurt hyperbMean hyperbMode hyperbSkew hyperbVar
Moments and Mode of the Normal Inverse Gaussian DistributionnigKurt nigMean nigMode nigSkew nigVar
Summarizing Normal Inverse Gaussian Distribution Fitprint.summary.gigFit summary.gigFit
Summarizing Hyperbolic Distribution Fitprint.summary.hyperbFit summary.hyperbFit
Summary Output of Hyperbolic Regressionprint.summary.hyperblm summary.hyperblm
Summarizing Normal Inverse Gaussian Distribution Fitprint.summary.nigFit summary.nigFit
Intervals Between Vehicles on a Roadtraffic