Package: FatTailsR 1.8-5

Patrice Kiener

FatTailsR: Kiener Distributions and Fat Tails in Finance

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.

Authors:Patrice Kiener [aut, cre]

FatTailsR_1.8-5.tar.gz
FatTailsR_1.8-5.tar.gz(r-4.5-noble)FatTailsR_1.8-5.tar.gz(r-4.4-noble)
FatTailsR_1.8-5.tgz(r-4.4-emscripten)FatTailsR_1.8-5.tgz(r-4.3-emscripten)
FatTailsR.pdf |FatTailsR.html
FatTailsR/json (API)
NEWS

# Install 'FatTailsR' in R:
install.packages('FatTailsR', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.48 score 30 scripts 376 downloads 204 exports 3 dependencies

Last updated 9 months agofrom:1c0d5b208f. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 29 2024
R-4.5-linuxOKNov 29 2024

Exports:acosechpacoshpacotanhpad2ead2kad2wae2dae2kae2wak2dak2eak2wasechpashpasinhpatanhpaw2daw2eaw2kcheckcoefkcheckquantilesckiener1ckiener2ckiener3ckiener4ckiener7cosechpcoshpcotanhpde2ade2kde2wdimdimdimdim1dimdimcdk2adk2edk2wdkashp_dxdkiener1dkiener2dkiener3dkiener4dkiener7dlkiener1dlkiener2dlkiener3dlkiener4dlkiener7dllogishpdlogishpdpkiener1dpkiener2dpkiener3dpkiener4dpkiener7dplogishpdqkiener1dqkiener2dqkiener3dqkiener4dqkiener7dqlogishpdtmqkiener1dtmqkiener2dtmqkiener3dtmqkiener4dtmqkiener7dw2adw2edw2kek2aek2dek2welevateelevenprobseskiener1eskiener2eskiener3eskiener4eskiener7eslogisestimkiener11estimkiener5estimkiener7ew2aew2dew2kexfit0exfit1exfit2exfit3exfit4exfit5exfit6exfit7exphpextractDatafatreturnsfitkienerXfiveprobsgetDSdatagetnameskgetnprobakhkiener1hkiener2hkiener3hkiener4hkiener7invkogitinvlogitkashpkcmomentkd2akd2ekd2wke2ake2dke2wkekurtosiskkurtosiskmeankmomentkmomentskogitkskewnesskstandevkvariancekw2akw2dkw2elaplacegaussnormlkiener1lkiener2lkiener3lkiener4lkiener7llogishploghplogitlogreturnsltmkiener1ltmkiener2ltmkiener3ltmkiener4ltmkiener7ltmlogisparamkienerXparamkienerX5paramkienerX7pk2pkpkiener1pkiener2pkiener3pkiener4pkiener7plogishppprobs0pprobs1pprobs2pprobs3pprobs4pprobs5pprobs6pprobs7pprobs8pprobs9qkiener1qkiener2qkiener3qkiener4qkiener7qlkiener1qlkiener2qlkiener3qlkiener4qlkiener7qllogishpqlogishpregkienerLXreplaceNArkiener1rkiener2rkiener3rkiener4rkiener7rlogishproundcoefkrtmkiener1rtmkiener2rtmkiener3rtmkiener4rtmkiener7rtmlogissechpsevenprobssinhptanhpvarkiener1varkiener2varkiener3varkiener4varkiener7xmoments

Dependencies:minpack.lmtimeDatetimeSeries

Readme and manuals

Help Manual

Help pageTopics
Package FatTailsRFatTailsR-package FatTailsR
Local Conversion Functions Between Kiener Distribution Parametersad2e ad2k ad2w ae2d ae2k ae2w ak2d ak2e ak2w aw2d aw2e aw2k de2a de2k de2w dk2a dk2e dk2w dw2a dw2e dw2k ek2a ek2d ek2w ew2a ew2d ew2k kd2a kd2e kd2w ke2a ke2d ke2w kw2a kw2d kw2e
Check Coefkcheckcoefk
Check Quantiles and Probabilitiescheckquantiles
Quantile (VaR) and Expected Shortfall Corrective Functionsckiener1 ckiener1234 ckiener2 ckiener3 ckiener4 ckiener7 hkiener1 hkiener2 hkiener3 hkiener4 hkiener7
Datasets dfData, mData, tData, xData, zData, extractData : dfDatadfData
Length and Dimensions of Vector, Matrix, Array, Data.Frame, Listdimdim dimdim1 dimdimc
Elevateelevate
Eleven, Seven, Five Probabilitieselevenprobs fiveprobs sevenprobs
Estimation Functions with 5, 7 or 11 Quantilesestimkiener11 estimkiener5 estimkiener7
Parameter Subsetsexfit0 exfit1 exfit2 exfit3 exfit4 exfit5 exfit6 exfit7
Power Hyperbolas and Power Hyperbolic Functionscosechp coshp cotanhp exphp sechp sinhp tanhp
Datasets dfData, mData, tData, xData, zData, extractData : extractDataextractData
Simple and Elaborated Prices to Returnsfatreturns logreturns replaceNA
Estimation and Regression Functions for Kiener DistributionsfitkienerX paramkienerX paramkienerX5 paramkienerX7
Get DS DatasetgetDSdata
Generate a list of vectors of characters from a vector of probabilitiesgetnamesk getnprobak
Kashp Functionashp dkashp_dx kashp
Symmetric Kiener Distribution K1dkiener1 dlkiener1 dpkiener1 dqkiener1 dtmqkiener1 eskiener1 kiener1 lkiener1 ltmkiener1 pkiener1 qkiener1 qlkiener1 rkiener1 rtmkiener1 varkiener1
Asymmetric Kiener Distribution K2dkiener2 dlkiener2 dpkiener2 dqkiener2 dtmqkiener2 eskiener2 kiener2 lkiener2 ltmkiener2 pkiener2 qkiener2 qlkiener2 rkiener2 rtmkiener2 varkiener2
Asymmetric Kiener Distribution K3dkiener3 dlkiener3 dpkiener3 dqkiener3 dtmqkiener3 eskiener3 kiener3 lkiener3 ltmkiener3 pkiener3 qkiener3 qlkiener3 rkiener3 rtmkiener3 varkiener3
Asymmetric Kiener Distribution K4dkiener4 dlkiener4 dpkiener4 dqkiener4 dtmqkiener4 eskiener4 kiener4 lkiener4 ltmkiener4 pkiener4 qkiener4 qlkiener4 rkiener4 rtmkiener4 varkiener4
Asymmetric Kiener Distribution K7 (K2)dkiener7 dlkiener7 dpkiener7 dqkiener7 dtmqkiener7 eskiener7 kiener7 lkiener7 ltmkiener7 pkiener7 qkiener7 qlkiener7 rkiener7 rtmkiener7 varkiener7
Moments Associated To Kiener Distribution Parameterskcmoment kekurtosis kkurtosis kmean kmoment kmoments kskewness kstandev kvariance xmoments
Laplace-Gauss Normal Distribution Objectlaplacegaussnorm
Inverse Power Hyperbolas and Inverse Power Hyperbolic Functionsacosechp acoshp acotanhp asechp asinhp atanhp loghp
The Power Hyperbola Logistic Distributiondllogishp dlogishp dplogishp dqlogishp invkogit kogit llogishp logishp plogishp qllogishp qlogishp rlogishp
Logit and Invlogit Functionseslogis invlogit logit ltmlogis rtmlogis
Datasets dfData, mData, tData, xData, zData, extractData : mDatamData
Global Conversion Function Between Kiener Distribution Parameterspk2pk
Several Vectors of Probabilitiespprobs0 pprobs1 pprobs2 pprobs3 pprobs4 pprobs5 pprobs6 pprobs7 pprobs8 pprobs9
Regression Function for Kiener DistributionsregkienerLX
Round Coefkroundcoefk
Datasets dfData, mData, tData, xData, zData, extractData : tDatatData
Datasets dfData, mData, tData, xData, zData, extractData : xDataxData
Datasets dfData, mData, tData, xData, zData, extractData : zDatazData