2007-02-25 David Luethi ghyp V0.8.3 * 'ghyp' released. 2007-03-26 David Luethi ghyp V0.9.0 * Bug fixed in lin.transf. * Slots aic and fitted.params added to mle.ghypuv and mle.ghypmv. * Function stepAIC.ghyp added. * Argument names "log" and "legend" changed to "log.hist" and "plot.legend" respectively in qqghyp and hist. * Some corrections in the vignette. 2007-06-08 David Luethi ghyp V0.9.2 * Internal function abar2chipsi: epsilon changed to .Machine$double.eps. * Internal function internal.dghyp, internal.dghypmv: Warning message changed. * Internal function mle.default, fit.ghypmv: Output properly formatted with sprintf. * Spline interpolation in internal function internal.dghyp for transition to singularity for the Variance Gamma case. * Generic functions logLik and AIC added. * Some changes in the package vignette. 2007-07-05 David Luethi ghyp V0.9.3 * Some changes in the package vignette and documentation. * Function ghyp.moment added. 2007-09-14 David Luethi ghyp V1.0.0 * fit.ghypmv: default relative tolerance set to 1e-8. * fit.ghypmv and fit.ghypuv: Parameter transformation changed to "log". * t.transform changed. * inf.t.transform: added; inverse of t.transform. * Some changes in the package vignette and documentation. * Bug fixed in check.opt.pars: Check for 'symmetric' and opt.pars['lambda'] and set opt.pars['lambda'] to FALSE when 'symmetric' is TRUE. * hist.ghypuv: Warnings now more meaningful. * check.norm.pars: Warnings now more meaningful. * Function 'lin.transf' replaced by the generic 'transform'. * Function 'redim' replaced by the generic '[.ghyp'. * Function 'ghyp.param' replaced by the generic 'coef'. * Methods 'show' changed and 'summary' added for objects of class 'mle.ghyp'. * Argument 'standardize' introduced in the fitting routines 'fit.ghyp..' * Methods 'plot' and 'lines' added. * Initial parameter value 'nu' changed in 'student.t', 'fit.tuv', 'fit.tmv'. 2008-02-05 David Luethi ghyp V1.1.0 * fit.ghypuv, fit.ghypmv now equipped with a rather reasonable error handling. * Function 'ghyp.name' added. * Internal function besselM3: For nu == 0.5 in besselK there is a faster expression for the bessel function which is now implemented. * Some minor changes in the vignette. 2008-03-07 David Luethi ghyp V1.2.0 * Special case of a Gaussian distribution implemented (constructor 'gauss' added). * Deprecated functions 'lin.transf', 'ghyp.params' and 'redim' removed and replaced with 'transform', 'coef' and '[', respectively. * ghyp constructors added for 'alpha.beta' parameters. * Vignette updated and newly implemented parametrization documented. * Error handling improved for qghyp, pghyp, (ESghyp), qgig, pgig, (ESgig). * Constructor 'ghyp' modified such that the variance of the mixing-variable is not required for the symmetric case. * Student-t density now allows "chi.psi" and "alpha.delta" parametrization. * dghyp and pghyp now handle NA's, NaN's and Inf's properly. * Some improvements in the manual. * Internal functions 'is.gaussian', 'is.student.t' and 'is.univariate' added. * Internal functions 'get.stepAIC.ghyp' added. * Univariate symmetric Student-t distribution now use R built-in functions. 2008-07-07 David Luethi ghyp V1.3.0 * Option lower.tail added in pghyp. * fit.ghypuv: Initial values of mu and sigma are now median and mad, respectively (instead of mean and sd). * ghyp-constructors: Default parameter values changed for skewness parameters gamma and beta to rep(0, length(mu)). For dispersion matrices sigma and Delta to diag(rep(1, length(mu))). * The function 'qqghyp' now has an argument 'add' which determines whether the points should be added to an existing plot window. * Constructor function "ghyp": all(gamma) == 0 changed to all(gamma == 0). * Internal function 'is.symmetric.t' changed to 'is.student.t(object, symmetric = NULL)'. * 'coef' applied to a Student-t distribution now also returns the degree-of-freedom 'nu', which is nu = -2 * lambda. Function 'show.ghyp' adapted accordingly. * It is now possible to switch from the 'chi.psi' parametrization to the 'alpha.bar' parametrization. * Package vignette enhanced. * Slot 'trace.pars' added to class 'mle.ghyp'. This slot contains a list (optionally in case of a multivariate fit) which stores the parameter values during the fitting procedure. * 'fit.ghypmv' is equipped with a boolean 'trace' as a consequence of the above modification. In the univariate case 'trace' is always true, meaning that the parameters will be stored in the slot 'trace.pars' in any case. * 'ghyp.fit.info' returns a formatted version of the data in the slot 'trace.pars'. * Initial value of 'alpha.bar' changed to 0.5 instead of 0.1 in 'fit.ghypuv'. * Function 'ghyp.omega' added. 'ESghyp' and 'ghyp.omega' are now described in the .Rd file 'ghyp-risk-performance'. 2008-10-28 David Luethi ghyp V1.4.0 * 'ghyp.moment': in case of central moments: wrongly took parameter 'mu' instead of the expected value in case 'central' was TRUE. 'ghyp.moment' was extended such that it takes analytical expressions and avoids numerical integration whenever possible. * The package 'ghyp' now depends on R >= 2.7. Function 'identity' was removed accordingly. * Functions 'ghyp.skewness' and 'ghyp.kurtosis' added. * 'ghyp' is on R-forge. * Instead of putting each function in a different file, functions are now collected in 8 files: 'ghypClasses', 'ghypConstructors', 'ghypFitting', 'ghypGenericMethods', 'ghypGIG', 'ghypInternals', 'ghypMethods', 'ghypWrappers'. * Internal functions now all come with a '.' in front of the name. * Internal function 'internal.dghyp' and 'internal.dghypmv' renamed to '.dghypuv' and '.dghypmv' respectively. * Package vignette extended. * Function 'ghyp.dim' added. Returns the dimension of a 'ghyp' object. * Internal function '.is.symmetric' added. * Dataset 'indices', representing 5 financial indices, and documentation file 'indices.Rd' added. * Function 'portfolio.optimize' extended for tangecy and global minimum risk portfolios. Some names of the arguments had to be changed. 2008-10-30 David Luethi ghyp V1.5.0 * 'transform.ghyp' changed: If data is stored in slot 'data' of an object inheriting from class 'ghyp', 'data' will be transformed as well. * Generic function 'scale' added to conveniently center and/or scale a 'ghyp' object to expectation zero and/or unit variance. * Function 'rgig' modified. It now uses the random number generator for the GIG distribution from the Rmetrics package 'fBasics'. 2009-05-20 David Luethi ghyp V1.5.1 * 'student.t' constructor and internals modified such that it works for non-finite variance and Cauchy distribution in particular. * Documentation and Vignette improved... 2009-10-11 David Luethi ghyp V1.5.2 * Documentation and Vignette improved... * 'qghyp': In case of student-t convert obj@sigma to 'numeric' from 'matrix'. * Constructors 'ghyp', 'NIG', 'hyp', 'VG', 'student-t' now accept matrices for 'mu' and 'gamma' and coerce them to vectors. 'Gauss' accepts a matrix for 'mu'. * Warning issues for Rd-files under R-2.11.0 resolved. 2010-10-11 David Luethi ghyp V1.5.3 * Vignette: Typo in eq. (5.8) removed in courtesy of Simon Keel. * rgig: GIG random number generation is now done in C with a significant increase in performance. The code was kindly provided by Ester Pantaleo and Robert B. Gramacy. 2010-11-29 David Luethi ghyp V1.5.4 * In NAMESPACE: S3Method changed to S3method as this will become case-sensitive in R-2.13.0. 2011-03-30 David Luethi ghyp V1.5.5 * Non-ASCII characters removed from the vignette. 2013-02-04 David Luethi ghyp V1.5.6 * lik.ratio.test: pchisq(q, df, lower.tail = FALSE) instead of 1 - pchisq(q, df, lower.tail = TRUE). Leads to increased numerical stability. In courtesy of Saeed Ahmadi. 2016-08-17 Marc Weibel ghyp V1.5.7 * Vignette: solve issue with TexLive2016. * Rd files: URL in canonical. 2020-01-19 Damien Challet ghyp V1.5.8 * Change of maintainer to avoid the archival of this package * Class "try-error" checks fixed * Dependence on gplots removed (MASS is used now). 2020-04-21 Marc Weibel ghyp V1.6.0 * Change of maintainer to Marc Weibel * Features added: ES attribution 2020-04-27 Marc Weibel ghyp V1.6.1 * Fixed some bugs in the documentation * Features added: Plot ES attribution (contribution or sentitivity) 2022-04-18 Marc Weibel ghyp V1.6.2 * Fixed some bugs due to deprecated definitions in C