Marius Hofert

Marius Hofert

10 packages on CRAN

copulaData

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Data sets used for copula modeling in addition to those in the package 'copula'. These include a random subsample from the US National Education Longitudinal Study (NELS) of 1988 and nursing home data from Wisconsin.

crop

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A device closing function which is able to crop graphics (e.g., PDF, PNG files) on Unix-like operating systems with the required underlying command-line tools installed.

nvmix

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Functions for working with multivariate normal variance mixture distributions including evaluating their distribution functions, densities and random number generation.

qrmdata

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Various data sets (stocks, stock indices, constituent data, FX, zero-coupon bond yield curves, volatility, commodities) for Quantitative Risk Management practice.

qrmtools

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Functions and data sets for reproducing selected results from the book "Quantitative Risk Management: Concepts, Techniques and Tools". Furthermore, new developments and auxiliary functions for Quantitative Risk Management practice.

qrng

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Functionality for generating (randomized) quasi-random numbers in high dimensions.

simsalapar

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Tools for setting up ("design"), conducting, and evaluating large-scale simulation studies with graphics and tables, including parallel computations.

zenplots

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Graphical tools for visualizing high-dimensional data with a path of pairs. Note that this requires 'graph' from Bioconductor. If you want to use dynamic graphics based on 'loon', you also need to have 'loon' installed, see <https://github.com/waddella/loon>.

knitr

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Provides a general-purpose tool for dynamic report generation in R using Literate Programming techniques.

QRM

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Accompanying package to the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, RĂ¼diger Frey, and Paul Embrechts.