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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.
Getting started
Browse package contents
Package details |
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| Author | Patrice Kiener [aut, cre] (<https://orcid.org/0000-0002-0505-9920>) |
| Maintainer | Patrice Kiener <fattailsr@inmodelia.com> |
| License | GPL-2 |
| Version | 2.0.0 |
| URL | https://www.inmodelia.com/fattailsr-en.html |
| Package repository | View on CRAN |
| Installation |
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