This package provides functions for the variance gamma distributions. Density, distribution and quantile functions. Functions for random number generation and fitting of the variance gamma to data. Also, functions for computing moments of the variance gamma distribution of any order about any location. In addition, there are functions for checking the validity of parameters and to interchange different sets of parameterizatons for the variance gamma distribution.

Documentation

Manual: VarianceGamma.pdf
Vignette: None available.

Maintainer: David Scott <d.scott at auckland.ac.nz>

Author(s): David Scott <d.scott at auckland.ac.nz> and Christine Yang Dong <c.dong at auckland.ac.nz>

Install package and any missing dependencies by running this line in your R console:

install.packages("VarianceGamma")

Depends R (>= 2.3.0), DistributionUtils, GeneralizedHyperbolic, RUnit
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Package VarianceGamma
Materials
URL http://www.r-project.org
Task Views Distributions
Version 0.3-1
Published 2015-01-05
License GPL (>= 2)
BugReports
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NeedsCompilation no
Citation
CRAN checks VarianceGamma check results
Package source VarianceGamma_0.3-1.tar.gz