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

In FatTailsR: Kiener Distributions and Fat Tails in Finance

Description

Generate vector of characters from a vector of probabilities, replacing 0. by letters:

• p. : probability.

• q. : quantile.

• VaR. : Value-at-Risk, positive in most cases.

• c. : corrective tail coefficient = (q - m) / (q_logistic_function - m).

• ltm. : left tail mean (signed ES on the left tail, usually negative).

• rtm. : right tail mean (signed ES on the right tail, usually positive).

• dtmq. : (p<=0.5 left, p>0.5 right) tail mean minus quantile.

• ES. : expected shortfall, positive in most cases.

• h. : corrective ES = (ES - m) / (ES_logistic_function - m).

• desv. : ES - VaR, usually positive.

• l. : quantile of the tangent logistic function.

• dl. : quantile - quantile_logistic_function.

• g. : quantile of the Laplace-Gauss function.

• dg. : quantile - quantile_Laplace_Gauss_function.

, q., VaR., c., ltm., rtm., ES., h., l., dl., g., dg.. The result is a list of vectors.

Usage

getnamesk(probak = pprobs2, check = TRUE)

getnprobak(probak = pprobs2, check = TRUE)

Arguments

probak	a vector of ordered probabilities with 0 and 1 excluded.
check	boolean. Apply checkquantiles function.

See Also

Probabilities: pprobs0

Examples

    
getnamesk(pprobs1)
getnamesk(pprobs8)

FatTailsR documentation built on March 12, 2021, 9:06 a.m.