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.

AuthorPatrice Kiener
Date of publication2016-05-15 14:43:27
MaintainerPatrice Kiener <fattailsr@inmodelia.com>

View on CRAN

Man pages

aw2k: Local Conversion Functions Between Kiener Distribution...

checkcoefk: Check Coefk

checkquantiles: Check Quantiles and Probabilities

ckiener1234: Quantile (VaR) and Expected Shortfall Corrective Functions

dfData: Datasets dfData, tData, xData, zData, extractData : dfData

dimdim: Length and Dimensions of Vector, Matrix, Array, Data.Frame,...

elevate: Elevate

elevenprobs: Eleven, Seven, Five Probabilities

estimkiener11: Estimation Functions with 5, 7 or 11 Quantiles

exfit0: Parameter Subsets

exphp: Power Hyperbolas and Power Hyperbolic Functions

extractData: Datasets dfData, tData, xData, zData, extractData :...

fatreturns: Simple and Elaborated Prices to Returns

FatTailsR: Package FatTailsR

fitkienerX: Estimation and Regression Functions for Kiener Distributions

getDSdata: Get DS Dataset

getnamesk: Generate a list of vectors of characters from a vector of...

kashp: Kashp Function

kiener1: Symmetric Kiener Distribution K1

kiener2: Asymmetric Kiener Distribution K2

kiener3: Asymmetric Kiener Distribution K3

kiener4: Asymmetric Kiener Distribution K4

kiener7: Asymmetric Kiener Distribution K7 (K2)

kmoments: Moments Associated To Kiener Distribution Parameters

laplacegaussnorm: Laplace-Gauss Normal Distribution Object

loghp: Inverse Power Hyperbolas and Inverse Power Hyperbolic...

logishp: The Power Hyperbola Logistic Distribution

logit: Logit and Invlogit Functions

pk2pk: Global Conversion Function Between Kiener Distribution...

pprobs0: Several Vectors of Probabilities

regkienerLX: Regression Function for Kiener Distributions

roundcoefk: Round Coefk

tData: Datasets dfData, tData, xData, zData, extractData : tData

xData: Datasets dfData, tData, xData, zData, extractData : xData

zData: Datasets dfData, tData, xData, zData, extractData : zData

Files in this package

FatTailsR/R/k_kienerES.R FatTailsR/R/o_estimation2.R FatTailsR/R/i_kiener4.R FatTailsR/R/h_kiener3.R FatTailsR/R/a_FatTailsR-package.R FatTailsR/R/b_data.R FatTailsR/R/f_kiener1.R FatTailsR/R/n_estimation.R FatTailsR/R/d_logishp.R FatTailsR/R/m_laplaceroll.R FatTailsR/R/j_kiener7.R FatTailsR/R/p_regression.R FatTailsR/R/l_moments.R FatTailsR/R/g_kiener2.R FatTailsR/R/e_conversion.R FatTailsR/R/c_trigohp.R
FatTailsR/man/loghp.Rd FatTailsR/man/checkquantiles.Rd FatTailsR/man/kiener2.Rd FatTailsR/man/exphp.Rd FatTailsR/man/tData.Rd FatTailsR/man/kashp.Rd FatTailsR/man/checkcoefk.Rd FatTailsR/man/fitkienerX.Rd FatTailsR/man/estimkiener11.Rd FatTailsR/man/aw2k.Rd FatTailsR/man/kiener7.Rd FatTailsR/man/ckiener1234.Rd FatTailsR/man/logishp.Rd FatTailsR/man/zData.Rd FatTailsR/man/exfit0.Rd FatTailsR/man/FatTailsR.Rd FatTailsR/man/logit.Rd FatTailsR/man/fatreturns.Rd FatTailsR/man/laplacegaussnorm.Rd FatTailsR/man/pprobs0.Rd FatTailsR/man/kiener4.Rd FatTailsR/man/elevenprobs.Rd FatTailsR/man/roundcoefk.Rd FatTailsR/man/dimdim.Rd FatTailsR/man/getDSdata.Rd FatTailsR/man/extractData.Rd FatTailsR/man/kiener3.Rd FatTailsR/man/elevate.Rd FatTailsR/man/pk2pk.Rd FatTailsR/man/xData.Rd FatTailsR/man/kmoments.Rd FatTailsR/man/getnamesk.Rd FatTailsR/man/regkienerLX.Rd FatTailsR/man/dfData.Rd FatTailsR/man/kiener1.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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