VarianceGamma: The Variance Gamma Distribution

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.

Version: 0.3-1
Depends: R (≥ 2.3.0), DistributionUtils, GeneralizedHyperbolic, RUnit
Published: 2015-01-05
Author: David Scott and Christine Yang Dong
Maintainer: David Scott <d.scott at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: ChangeLog
In views: Distributions
CRAN checks: VarianceGamma results


Reference manual: VarianceGamma.pdf
Package source: VarianceGamma_0.3-1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: VarianceGamma_0.3-1.tgz, r-oldrel: VarianceGamma_0.3-1.tgz
OS X Mavericks binaries: r-release: VarianceGamma_0.3-1.tgz
Old sources: VarianceGamma archive

Reverse dependencies:

Reverse suggests: DistributionUtils, GeneralizedHyperbolic, HyperbolicDist