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.

Author
Patrice Kiener
Date of publication
2016-05-15 14:43:27
Maintainer
Patrice Kiener <fattailsr@inmodelia.com>
License
GPL-2
Version
1.7-0
URLs

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
FatTailsR/inst
FatTailsR/inst/CITATION
FatTailsR/NAMESPACE
FatTailsR/NEWS
FatTailsR/data
FatTailsR/data/xData.rda
FatTailsR/data/datalist
FatTailsR/data/dfData.rda
FatTailsR/data/tData.rda
FatTailsR/data/zData.rda
FatTailsR/R
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/MD5
FatTailsR/DESCRIPTION
FatTailsR/man
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