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FatTailsR (version 1.7-5)
Kiener Distributions and Fat Tails in Finance
Description
Kiener distributions K1, K2, K3, K4 and K7 to characterize
distributions with left and right, symmetric or asymmetric fat tails in market
finance, neuroscience and other disciplines. Two algorithms to estimate with
a high accuracy distribution parameters, quantiles, value-at-risk and expected
shortfall. Include power hyperbolas and power hyperbolic functions.