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LIHNPSD (version 0.2.1)
Poisson Subordinated Distribution
Description
A Poisson Subordinated Distribution to capture major leptokurtic features in log-return time series of financial data.
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Version
Version
0.2.1
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Install
install.packages('LIHNPSD')
Monthly Downloads
20
Version
0.2.1
License
GPL-2
Maintainer
Stephen Lihn
Last Published
April 13th, 2012
Functions in LIHNPSD (0.2.1)
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LihnTildeFunction
The tilde Lihn function
SPSD
Simple PSD constructor
mu3_analytic
Calculate the analytic form of the third moment of PSD without location parameter
rawdensityslope
Calculate the slope of the PDF (dP/dx)
LIHNPSD_plotqq
Internal utility to plot qq chart
MergeTailHistogram
Utility function to merge tails in the histogram
mu_n_core
Calculate the analytic core part of N-th moment of PSD without location parameter
TimeSeriesLogReturn
Convert price series to log-return series
gold_logr
Log-return of spot gold
LihnFunctionKth
The k-th term in the sum of Lihn function
LIHNPSD_plotpdf
Internal utility to plot pdf chart
prepare
Internal utility to construct a PSD S3 object
LihnFunctionValidate
Validation of Lihn function implementations
LIHNPSD_standardfit_test
Internal utility to test the stability of
LIHNPSD_standardfit_fn
LIHNPSD_plotcdf
Internal utility to plot cdf chart
poisson_sum
Utility to calculate the Poisson sum
LIHNPSD_plotlogpdf
Internal utility to plot log-pdf chart
psdskewness
Calculate the skewness based on Poisson sum of moments
rawmu3
Calculate the Poisson sum of the third moment of PSD without location parameter
rawsn
Internal utility for SN related function
vix_logr
Log-return of VIX
rawmu4
Calculate the Poisson sum of the fourth moment of PSD without location parameter
tailindex_plot
Generate the plot of tail index for the specified PSD
LIHNPSD_standardfit_fn
Internal utility to perform nonlinear fit using spg
LIHNPSD_theoretical_result
Prepare the theoretical result on a given data set and PSD fit
LIHNPSD_plot_std4gr
Standard utility to plot a 4-chart graph on a given data set and PSD fit
LihnFunctionSum
The summation form of Lihn function
LIHNPSD-package
Poisson Subordinated Distribution
.N
Simple MPFR constructor
MergeTailHistogramOneSide
Internal utility function to merge the left tail in the histogram
LIHNPSD_prepare_data
Prepare the data set object from log-return series
psdvariance
Calculate the variance based on Poisson sum of moments
tailindex
Calculate the tail index
rawmu2
Calculate the Poisson sum of the second moment of PSD without location parameter
calcqq
Calculate quantile-to-quantile object from PSD and histogram
rawdensity_kth
The k-th item of the raw PDF
rawmean
Utility to construct a PSD S3 object with calculated mean
rawcdf
Calculate the raw CDF
psdunittest
Perform unit tests on the specified PSD S3 object
rawmu1
Calculate the Poisson sum of the first moment (mean) of PSD without location parameter
LihnBetaPoly
The beta polynomial
rawdensity0
The raw PDF at x=0
rawdensity
The probability density function of PSD without location parameter
generatepdf
Internal utility to generate (raw) PDF
psdmagnitude
A simplistic algorithm of estimating magnitude of shock
psdkurtosis
Calculate the kurtosis based on Poisson sum of moments
LIHNPSD_UnitTest
Perform major unit tests on the package
mu2_analytic
Calculate the analytic form of the second moment of PSD without location parameter
density
The probability density function of PSD with location parameter.
r10y_logr
Log-return of R10Y
szd_logr
Log-return of SZD/USD
psdkernel
Calculate the ratio of the actual volatility vs the unit volatility
standardfit
Standard utility to perform nonlinear PSD fit
mu4_analytic
Calculate the analytic form of the fourth moment of PSD without location parameter
dji_logr
Log-return of DJIA
mu1_analytic
Calculate the analytic form of the first moment (mean) of PSD without location parameter
poisson_sum_kth
Internal utility to calculate the k-th item of the Poisson sum
rawcdfinv
Calculate Inverse of CDF using Newton's method
LihnFunctionAnalytic
Analytic form of Lihn function