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FatTailsR (version 2.0.1)

Kiener Distributions and Fat Tails in Finance and Neuroscience

Description

Kiener distributions K1, K2, K3, K4 and K7 to characterize distributions with left and right, symmetric or asymmetric fat tails in finance, neuroscience and other disciplines. Two algorithms to estimate the distribution parameters, quantiles, value-at-risk and expected shortfall. IMPORTANT: Standardization has been changed in versions >= 2.0.0 to get sd = 1 when kappa = Inf rather than 2*pi/sqrt(3) in versions <= 1.8.6. This affects parameter g (other parameters stay unchanged). Do not update if you need consistent comparisons with previous results for the g parameter.

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Version

Install

install.packages('FatTailsR')

Monthly Downloads

247

Version

2.0.1

License

GPL-2

Maintainer

Patrice Kiener

Last Published

February 15th, 2026

Functions in FatTailsR (2.0.1)

fitkienerX

Estimation and Regression Functions for Kiener Distributions
kiener1

Symmetric Kiener Distribution K1
kashp

Kashp Function
kiener2

Asymmetric Kiener Distribution K2
getnamesk

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

Get DS Dataset
extractData

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

Simple and Elaborated Prices to Returns
kiener4

Asymmetric Kiener Distribution K4
kiener3

Asymmetric Kiener Distribution K3
kmoments

Moments Associated To Kiener Distribution Parameters
kiener7

Asymmetric Kiener Distribution K7 (K2)
logit

Logit and Invlogit Functions
pk2pk

Global Conversion Function Between Kiener Distribution Parameters
roundcoefk

Round Coefk
logisst

The Standardized Logistic Distribution
laplacegaussnorm

Laplace-Gauss Normal Distribution Object
mData

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

Regression Function for Kiener Distributions
zData

Datasets dfData, mData, tData, xData, zData, extractData : zData
pprobs0

Several Vectors of Probabilities
xData

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

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

Eleven, Seven, Five Probabilities
elevate

Elevate
aw2k

Local Conversion Functions Between Kiener Distribution Parameters
FatTailsR-package

Package FatTailsR
estimkiener11

Estimation Functions with 5, 7 or 11 Quantiles
checkcoefk

Check Coefk
checkquantiles

Check Quantiles and Probabilities
ckiener1234

Quantile (VaR) and Expected Shortfall Corrective Functions
exfit0

Parameter Subsets
dfData

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