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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.

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Version

Install

install.packages('FatTailsR')

Monthly Downloads

247

Version

1.7-5

License

GPL-2

Maintainer

Patrice Kiener

Last Published

May 16th, 2017

Functions in FatTailsR (1.7-5)

ckiener1234

Quantile (VaR) and Expected Shortfall Corrective Functions
dfData

Datasets dfData, mData, tData, xData, zData, extractData : dfData
elevenprobs

Eleven, Seven, Five Probabilities
estimkiener11

Estimation Functions with 5, 7 or 11 Quantiles
FatTailsR-package

Package FatTailsR
aw2k

Local Conversion Functions Between Kiener Distribution Parameters
checkcoefk

Check Coefk
checkquantiles

Check Quantiles and Probabilities
extractData

Datasets dfData, mData, tData, xData, zData, extractData : extractData
fatreturns

Simple and Elaborated Prices to Returns
fitkienerX

Estimation and Regression Functions for Kiener Distributions
getDSdata

Get DS Dataset
dimdim

Length and Dimensions of Vector, Matrix, Array, Data.Frame, List
elevate

Elevate
exfit0

Parameter Subsets
exphp

Power Hyperbolas and Power Hyperbolic Functions
mData

Datasets dfData, mData, tData, xData, zData, extractData : mData
pk2pk

Global Conversion Function Between Kiener Distribution Parameters
getnamesk

Generate a list of vectors of characters from a vector of probabilities
kashp

Kashp Function
kiener3

Asymmetric Kiener Distribution K3
laplacegaussnorm

Laplace-Gauss Normal Distribution Object
loghp

Inverse Power Hyperbolas and Inverse Power Hyperbolic Functions
roundcoefk

Round Coefk
tData

Datasets dfData, mData, tData, xData, zData, extractData : tData
logishp

The Power Hyperbola Logistic Distribution
logit

Logit and Invlogit Functions
pprobs0

Several Vectors of Probabilities
regkienerLX

Regression Function for Kiener Distributions
kiener1

Symmetric Kiener Distribution K1
kiener2

Asymmetric Kiener Distribution K2
kiener7

Asymmetric Kiener Distribution K7 (K2)
kmoments

Moments Associated To Kiener Distribution Parameters
kiener4

Asymmetric Kiener Distribution K4
xData

Datasets dfData, mData, tData, xData, zData, extractData : xData
zData

Datasets dfData, mData, tData, xData, zData, extractData : zData