Marius Hofert

Marius Hofert

12 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.

gnn

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Tools to set up, train, store, load, investigate and analyze generative neural networks. In particular, functionality for generative moment matching networks is provided. See Hofert, Prasad, Zhu (2018) <arXiv:abs/1811.00683> for more details.

nvmix

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Functions for working with multivariate normal variance mixture distributions (evaluation of distribution functions and densities, random number generation and parameter estimation), including Student's t distribution for non-integer degrees of freedom.

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.

DPQ

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Computations for approximations and alternatives for the 'DPQ' (Density (pdf), Probability (cdf) and Quantile) functions for probability distributions in R. Primary focus is on (central and non-central) beta, gamma and related distributions such as the chi-squared, F, and t. -- This is for the use of researchers in these numerical approximation implementations, notably for my own use in order to improve R`s own pbeta(), qgamma(), ..., etc: {'"dpq"'-functions}. -- We plan to complement with 'DPQmpfr' to be suggested later.

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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Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.

zenplots

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Graphical tools for visualizing high-dimensional data along a path of alternating one- and two-dimensional plots. Note that this includes interactive graphics plots based on 'loon' in turn based on tcltk (included as part of the standard R distribution). It also requires 'graph' from Bioconductor.