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.

Getting started

Package details

AuthorPatrice Kiener [aut, cre] (<https://orcid.org/0000-0002-0505-9920>)
MaintainerPatrice Kiener <fattailsr@inmodelia.com>
URL https://www.inmodelia.com/fattailsr-en.html
Package repositoryView on CRAN
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FatTailsR documentation built on May 29, 2024, 1:33 a.m.