https://github.com/s-broda/quadraticformsmghyp.jl

A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
https://github.com/s-broda/quadraticformsmghyp.jl

expected-shortfall generalized-hyperbolic-distribution imhof inversion-formula normal-inverse-gaussian partial-moments quadratic-forms saddlepoint-approximation students-t tail-probabilities value-at-risk variance-gamma

Last synced: 25 days ago
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A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

• Host: GitHub
• URL: https://github.com/s-broda/quadraticformsmghyp.jl
• Owner: s-broda
• License: mit
• Created: 2020-02-29T17:53:20.000Z (over 4 years ago)
• Default Branch: master
• Last Pushed: 2024-03-01T14:14:06.000Z (8 months ago)
• Last Synced: 2024-10-01T16:12:59.603Z (about 1 month ago)
• Topics: expected-shortfall, generalized-hyperbolic-distribution, imhof, inversion-formula, normal-inverse-gaussian, partial-moments, quadratic-forms, saddlepoint-approximation, students-t, tail-probabilities, value-at-risk, variance-gamma
• Language: Julia
• Size: 521 KB
• Stars: 4
• Watchers: 2
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE
  • Citation: CITATION.bib

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README

        
# QuadraticFormsMGHyp

[![Stable](https://img.shields.io/badge/docs-stable-blue.svg)](https://s-broda.github.io/QuadraticFormsMGHyp.jl/stable)

[![Dev](https://img.shields.io/badge/docs-dev-blue.svg)](https://s-broda.github.io/QuadraticFormsMGHyp.jl/dev)

[![Build status (Linux, MacOS, Windows)](https://github.com/s-broda/QuadraticFormsMGHyp.jl/workflows/CI/badge.svg)](https://github.com/s-broda/QuadraticFormsMGHyp.jl/actions?query=workflow%3ACI)

[![Codecov](https://codecov.io/gh/s-broda/QuadraticFormsMGHyp.jl/branch/master/graph/badge.svg)](https://codecov.io/gh/s-broda/QuadraticFormsMGHyp.jl)

[![pkgeval](https://juliaci.github.io/NanosoldierReports/pkgeval_badges/Q/QuadraticFormsMGHyp.svg)](https://juliaci.github.io/NanosoldierReports/pkgeval_badges/Q/QuadraticFormsMGHyp.html)

[![DOI](https://zenodo.org/badge/244015145.svg)](https://zenodo.org/badge/latestdoi/244015145)

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](https://github.com/s-broda/es4mgh).

# 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](https://doi.org/10.1093/biomet/asaa067). The figures in the paper can be recreated by running `using Pkg; Pkg.test("QuadraticFormsMGHyp")`.