Package: FatTailsR 2.0.1
Patrice Kiener
FatTailsR: Kiener Distributions and Fat Tails in Finance and Neuroscience
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.
Authors:
FatTailsR_2.0.1.tar.gz
FatTailsR_2.0.1.tar.gz(r-4.7-any)FatTailsR_2.0.1.tar.gz(r-4.6-any)
FatTailsR_2.0.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
FatTailsR/json (API)
| # Install 'FatTailsR' in R: |
| install.packages('FatTailsR', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- 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.
Last updated from:77e3cb356d. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 140 | ||
| source / vignettes | OK | 166 | ||
| linux-release-x86_64 | OK | 123 | ||
| wasm-release | OK | 94 |
Exports:ad2ead2kad2wae2dae2kae2wak2dak2eak2washpaw2daw2eaw2kcheckcoefkcheckquantilesckiener1ckiener2ckiener3ckiener4ckiener7de2ade2kde2wdk2adk2edk2wdkashp_dxdkiener1dkiener2dkiener3dkiener4dkiener7dlkiener1dlkiener2dlkiener3dlkiener4dlkiener7dllogisstdlogisstdpkiener1dpkiener2dpkiener3dpkiener4dpkiener7dplogisstdqkiener1dqkiener2dqkiener3dqkiener4dqkiener7dqlogisstdtmqkiener1dtmqkiener2dtmqkiener3dtmqkiener4dtmqkiener7dw2adw2edw2kek2aek2dek2welevateelevenprobseskiener1eskiener2eskiener3eskiener4eskiener7eslogisstestimkiener11estimkiener5estimkiener7ew2aew2dew2kexfit0exfit1exfit2exfit3exfit4exfit5exfit6exfit7extractDatafatreturnsfitkienerXfiveprobsgetDSdatagetnameskgetnprobakhkiener1hkiener2hkiener3hkiener4hkiener7invlogitkashpkcmomentkd2akd2ekd2wke2ake2dke2wkekurtosiskkurtosiskmeankmomentkmomentskskewnesskstandevkvariancekw2akw2dkw2elaplacegaussnormlkiener1lkiener2lkiener3lkiener4lkiener7llogisstlogitlogreturnsltmkiener1ltmkiener2ltmkiener3ltmkiener4ltmkiener7ltmlogisstparamkienerXparamkienerX5paramkienerX7pk2pkpkiener1pkiener2pkiener3pkiener4pkiener7plogisstpprobs0pprobs1pprobs2pprobs3pprobs4pprobs5pprobs6pprobs7pprobs8pprobs9qkiener1qkiener2qkiener3qkiener4qkiener7qlkiener1qlkiener2qlkiener3qlkiener4qlkiener7qllogisstqlogisstregkienerLXreplaceNArkiener1rkiener2rkiener3rkiener4rkiener7rlogisstroundcoefkrtmkiener1rtmkiener2rtmkiener3rtmkiener4rtmkiener7rtmlogisstsevenprobsvarkiener1varkiener2varkiener3varkiener4varkiener7varlogisstxmoments
Dependencies:minpack.lmtimeDatetimeSeries
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Package FatTailsR | FatTailsR-package FatTailsR |
| Local Conversion Functions Between Kiener Distribution Parameters | ad2e 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 Coefk | checkcoefk |
| Check Quantiles and Probabilities | checkquantiles |
| Quantile (VaR) and Expected Shortfall Corrective Functions | ckiener1 ckiener1234 ckiener2 ckiener3 ckiener4 ckiener7 hkiener1 hkiener2 hkiener3 hkiener4 hkiener7 |
| Datasets dfData, mData, tData, xData, zData, extractData : dfData | dfData |
| Elevate | elevate |
| Eleven, Seven, Five Probabilities | elevenprobs fiveprobs sevenprobs |
| Estimation Functions with 5, 7 or 11 Quantiles | estimkiener11 estimkiener5 estimkiener7 |
| Parameter Subsets | exfit0 exfit1 exfit2 exfit3 exfit4 exfit5 exfit6 exfit7 |
| Datasets dfData, mData, tData, xData, zData, extractData : extractData | extractData |
| Simple and Elaborated Prices to Returns | fatreturns logreturns replaceNA |
| Estimation and Regression Functions for Kiener Distributions | fitkienerX paramkienerX paramkienerX5 paramkienerX7 |
| Get DS Dataset | getDSdata |
| Generate a list of vectors of characters from a vector of probabilities | getnamesk getnprobak |
| Kashp Function | ashp dkashp_dx kashp |
| Symmetric Kiener Distribution K1 | dkiener1 dlkiener1 dpkiener1 dqkiener1 dtmqkiener1 eskiener1 kiener1 lkiener1 ltmkiener1 pkiener1 qkiener1 qlkiener1 rkiener1 rtmkiener1 varkiener1 |
| Asymmetric Kiener Distribution K2 | dkiener2 dlkiener2 dpkiener2 dqkiener2 dtmqkiener2 eskiener2 kiener2 lkiener2 ltmkiener2 pkiener2 qkiener2 qlkiener2 rkiener2 rtmkiener2 varkiener2 |
| Asymmetric Kiener Distribution K3 | dkiener3 dlkiener3 dpkiener3 dqkiener3 dtmqkiener3 eskiener3 kiener3 lkiener3 ltmkiener3 pkiener3 qkiener3 qlkiener3 rkiener3 rtmkiener3 varkiener3 |
| Asymmetric Kiener Distribution K4 | dkiener4 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 Parameters | kcmoment kekurtosis kkurtosis kmean kmoment kmoments kskewness kstandev kvariance xmoments |
| Laplace-Gauss Normal Distribution Object | laplacegaussnorm |
| The Standardized Logistic Distribution | dllogisst dlogisst dplogisst dqlogisst eslogisst llogisst logisst ltmlogisst plogisst qllogisst qlogisst rlogisst rtmlogisst varlogisst |
| Logit and Invlogit Functions | invlogit logit |
| Datasets dfData, mData, tData, xData, zData, extractData : mData | mData |
| Global Conversion Function Between Kiener Distribution Parameters | pk2pk |
| Several Vectors of Probabilities | pprobs0 pprobs1 pprobs2 pprobs3 pprobs4 pprobs5 pprobs6 pprobs7 pprobs8 pprobs9 |
| Regression Function for Kiener Distributions | regkienerLX |
| Round Coefk | roundcoefk |
| Datasets dfData, mData, tData, xData, zData, extractData : tData | tData |
| Datasets dfData, mData, tData, xData, zData, extractData : xData | xData |
| Datasets dfData, mData, tData, xData, zData, extractData : zData | zData |