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FatTailsR (version 1.8-5)

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

563

Version

1.8-5

License

GPL-2

Maintainer

Patrice Kiener

Last Published

March 3rd, 2024

Functions in FatTailsR (1.8-5)

checkcoefk

Check Coefk
extractData

Datasets dfData, mData, tData, xData, zData, extractData : extractData
kiener1

Symmetric Kiener Distribution K1
exfit0

Parameter Subsets
exphp

Power Hyperbolas and Power Hyperbolic Functions
kiener2

Asymmetric Kiener Distribution K2
fatreturns

Simple and Elaborated Prices to Returns
kashp

Kashp Function
getnamesk

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

Estimation and Regression Functions for Kiener Distributions
getDSdata

Get DS Dataset
kiener3

Asymmetric Kiener Distribution K3
kmoments

Moments Associated To Kiener Distribution Parameters
kiener4

Asymmetric Kiener Distribution K4
logishp

The Power Hyperbola Logistic Distribution
laplacegaussnorm

Laplace-Gauss Normal Distribution Object
pk2pk

Global Conversion Function Between Kiener Distribution Parameters
mData

Datasets dfData, mData, tData, xData, zData, extractData : mData
kiener7

Asymmetric Kiener Distribution K7 (K2)
logit

Logit and Invlogit Functions
loghp

Inverse Power Hyperbolas and Inverse Power Hyperbolic Functions
pprobs0

Several Vectors of Probabilities
roundcoefk

Round Coefk
xData

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

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

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

Regression Function for Kiener Distributions
elevate

Elevate
dimdim

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

Eleven, Seven, Five Probabilities
dfData

Datasets dfData, mData, tData, xData, zData, extractData : dfData
estimkiener11

Estimation Functions with 5, 7 or 11 Quantiles
aw2k

Local Conversion Functions Between Kiener Distribution Parameters
checkquantiles

Check Quantiles and Probabilities
ckiener1234

Quantile (VaR) and Expected Shortfall Corrective Functions
FatTailsR-package

Package FatTailsR