NEWS
FatTailsR 1.8-5 (2024-03-03)
- Version packaged with R-4.3.2 and sent to CRAN (R-4.3.3)
FatTailsR 1.8-4
- Prepared for R-4.3.2
- rewrite 2x {p} as \code{p} in f_kiener12347 to pass new checks
- replace \item{}{} by \item in m_laplaceroll to pass new checks
- rename FatTailsR-package.R and arrange @include in b_data.R
- split b_data.R in a_data.R and b_fatreturns.R. Arrange the @include
- DESCRIPTION: arrange collate
FatTailsR 1.8-3
FatTailsR 1.8-2
FatTailsR 1.8-0 (2021-03-12)
- Prepared for R-4.1.0
- 36 http links changed to https thanks to urlchecker package
- Roxygen 7.1.1
FatTailsR 1.7-6
- paramkienerX5 and X7 rewritten : new algorithm
-- nonlinear interpolation rather than second order approximation
FatTailsR 1.7-5 (2017-05-16)
- Codename: Sister's birthday
- Version for MNHN Semin-R conference (2017-06-16)
-- https://rug.mnhn.fr/semin-r/PDF/JourneeR-2017-Programme.pdf
- Nothing new in this subversion
- MAIN NOVELTIES vs 1.7-0:
FatTailsR 1.7-3
- mData
- extractData rewritten: "zoo" produces an index in Date format
FatTailsR 1.7-2
- Package generated from Windows and Linux
FatTailsR 1.7-0 (2016-05-15)
- Codename: Dimanche de Pentecote
- MAIN NOVELTIES vs 1.6-0:
-- (dpqr)kiener7() vectorized for vector and matrix
-- checkcoefk(), replaceNA()
-- fatreturns(), logret() and elevate()
- See details below
FatTailsR 1.6-6
- Version for AB and documentation synchronised with FatTailsRplot.
- checkquantiles(..., STOP = FALSE) in estimkiener5/7/11().
FatTailsR 1.6-4
- extractData(pr="r") uses fatreturns rather than 100*diff(log()). Much better...
FatTailsR 1.6-3
- New page *kiener7.R and new functions *kiener7() with
(x,q,p) integer or vector and (coefk) vector or matrix.
- New parameter signedES in eskiener12347.R(..., signedES = FALSE)
FALSE = (abs(ltm), abs(rtm)). TRUE = (ltm, rtm).
- Change the page names and collate order
FatTailsR 1.6-2
- new functions: checkcoefk(), replaceNA()
- new function: ckiener7() deals with p vector and coefk matrix (recycling)
- dimdim(NULL) returns now c(0,0) (before c(1,0))
- checkquantiles() rewritten with a stop by default except if STOP = FALSE
- parallel::makeCluster() now requires package {methods}
FatTailsR 1.6-1
- fatreturns, logret and elevate transferred from FatTailsRplot to FatTailsR
FatTailsR 1.6-0 (2016-02-20)
- Codename: Caucus in Nevada
- Bug when lower.tail was FALSE. New version is such that:
ltmkiener?(p, ..., lower.tail=FALSE) == rtmkiener?(p, ..., lower.tail=TRUE)
rtmkiener?(p, ..., lower.tail=FALSE) == ltmkiener?(p, ..., lower.tail=TRUE)
eskiener?() =ltmkiener? for left tail, =rtmkiener? for right tail and always positive
FatTailsR 1.5-8
- fitkienerX, paramkienerX, paramkienerX5, paramkienerX7
Recursive approach: accept list of vectors, matrix, timeSeries, xts, zoo...
FatTailsR 1.5-6
- R updated from R-3.1.0 to R-3.2.3
- Expected Shortfall added to {regkienerLX} (dfrESkPk and dfrESkLk)
FatTailsR 1.5-3
- Improved parallelization of arrays in {fitkienerX} and {paramkienerX57}
FatTailsR 1.5-0 (2015-11-08)
- Codename: Rugby World cup - All Blacks win
- Parallelization of arrays in {fitkienerX} and {paramkienerX57}
- Bugs fixed:
-- {fitkienerX} returned NA in columns {xmoments} ("m1x","sdx","skx","kex")
-- {dimdim} returned wrong values with data.frame
FatTailsR 1.4-1 (2015-10-26)
- Codename: Rugby World cup
- A major update !!
- 3 months of intensive work for better performance and higher flexibility
- Compatible with commercial package FatTailsRplot (several advanced plots)
-- Plots can be seen in 2014 and 2015 presentations at R/Rmetrics Conference
-- Contact me for a demo
NEW FUNCTIONS
- Functions {fitkienerX} and {paramkienerX}:
-- accomodate vectors, matrix, data.frame, arrays and lists
-- replace {fitkienerLX} and {estimkienerX} (1.2-0) which are suppressed
(we apologize to early users who will have to rewrite their code)
The new code is much better.
-- same output than {regkienerLX}$fitk
-- some parameters renamed ("g.01" changed to "dg.01")
-- smallest dataset must have more than 15 valid quantiles.
-- return a huge vector {fitk} with quantiles, moments, VaR, ES, etc...
- Predefined {exfit0},..,{exfit7} to subset this vector {fitk}
- {pprobs0},..,{pprobs9} as preset values of probabilities to be combined with
- {getnamesk} to generate parameter names
- p1 replaces 1-p1 in elevenprobs (14 august 2015)
- {dimdim}, {dimdim1}: alternate version to {dim} (03 August 2015)
- {roundcoefk} to simplify parameter rounding (+ preset values) (1 August 2015, 1.2-6)
- {ltmkiener1234}, {rtmkiener1234} {eskiener1234}
Left tail mean and Right tail mean as signed (+/-) Expected Shortfall
for left and right tails (18 September 2015)
- {hkiener1234} generate parameter h.01,..,h.99 (ES/ES_logis) (18 October 2015)
- {ExtractData} as a wrapper of tData, xData, zData, dfData
- Colnames with upper cases in datasets df,t,x,zData (14 August 2015)
- {kmoments}, {xmoments} examples rewritten
FatTailsR 1.2-3 (2015-07-08)
- Code 1.2-0 made compliant with R-devel (next R 3.3-0).
FatTailsR 1.2-0 (2015-06-18)
- Codename: Appel du 18 juin
- Title changed to: Kiener Distributions and Fat Tails in Finance.
- Raw and central moments.
- regkienerLX has now a @exportClass(clregk).
- fitkienerLX: same algorithm than regkienerLX but displays a flat table.
- estimkienerX: new algorithm based on 5, 7, 9 or 11 quantiles.
- {checkquantiles}
- {pk2pk} conversion function
- {ckiener1234} and parameter {c.01},..,{c.99}
FatTailsR 1.0-3 (2014-07-14)
- Codename : Liberte, Egalite, Fraternite
- Initial release.
- Title: Power Hyperbolic Functions and Kiener Distributions.
- Developped with R version R-3.1.0