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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

Install

install.packages('LIHNPSD')

Monthly Downloads

8

Version

0.2.1

License

GPL-2

Maintainer

Stephen Lihn

Last Published

April 13th, 2012

Functions in LIHNPSD (0.2.1)

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