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A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

License: MIT License

Julia 100.00%
imhof quadratic-forms tail-probabilities expected-shortfall value-at-risk generalized-hyperbolic-distribution variance-gamma normal-inverse-gaussian students-t partial-moments

quadraticformsmghyp.jl's Introduction

QuadraticFormsMGHyp

Stable Dev Build status (Linux, MacOS, Windows) Codecov pkgeval DOI

A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors. Matlab and Fortran code is available here.

Installation

The package can be installed with using Pkg; Pkg.add("QuadraticFormsMGHyp").

Citation

If you use this package in your research, then please consider citing our paper. The figures in the paper can be recreated by running using Pkg; Pkg.test("QuadraticFormsMGHyp").

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