LIHNPSD: Poisson Subordinated Distribution

A Poisson Subordinated Distribution to capture major leptokurtic features in log-return time series of financial data.

AuthorStephen Horng-Twu Lihn <stevelihn@gmail.com>
Date of publication2012-04-13 05:19:27
MaintainerStephen Horng-Twu Lihn <stevelihn@gmail.com>
LicenseGPL-2
Version0.2.1
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2032762

View on CRAN

Man pages

calcqq: Calculate quantile-to-quantile object from PSD and histogram

density: The probability density function of PSD with location...

dji_logr: Log-return of DJIA

dot_N: Simple MPFR constructor

generatepdf: Internal utility to generate (raw) PDF

gold_logr: Log-return of spot gold

LihnBetaPoly: The beta polynomial

LihnFunctionAnalytic: Analytic form of Lihn function

LihnFunctionKth: The k-th term in the sum of Lihn function

LihnFunctionSum: The summation form of Lihn function

LihnFunctionValidate: Validation of Lihn function implementations

LIHNPSD-package: Poisson Subordinated Distribution

LIHNPSD_plotcdf: Internal utility to plot cdf chart

LIHNPSD_plotlogpdf: Internal utility to plot log-pdf chart

LIHNPSD_plotpdf: Internal utility to plot pdf chart

LIHNPSD_plotqq: Internal utility to plot qq chart

LIHNPSD_plot_std4gr: Standard utility to plot a 4-chart graph on a given data set...

LIHNPSD_prepare_data: Prepare the data set object from log-return series

LIHNPSD_standardfit_fn: Internal utility to perform nonlinear fit using spg

LIHNPSD_standardfit_test: Internal utility to test the stability of...

LIHNPSD_theoretical_result: Prepare the theoretical result on a given data set and PSD...

LIHNPSD_UnitTest: Perform major unit tests on the package

LihnTildeFunction: The tilde Lihn function

MergeTailHistogram: Utility function to merge tails in the histogram

MergeTailHistogramOneSide: Internal utility function to merge the left tail in the...

mu1_analytic: Calculate the analytic form of the first moment (mean) of PSD...

mu2_analytic: Calculate the analytic form of the second moment of PSD...

mu3_analytic: Calculate the analytic form of the third moment of PSD...

mu4_analytic: Calculate the analytic form of the fourth moment of PSD...

mu_n_core: Calculate the analytic core part of N-th moment of PSD...

poisson_sum: Utility to calculate the Poisson sum

poisson_sum_kth: Internal utility to calculate the k-th item of the Poisson...

prepare: Internal utility to construct a PSD S3 object

psdkernel: Calculate the ratio of the actual volatility vs the unit...

psdkurtosis: Calculate the kurtosis based on Poisson sum of moments

psdmagnitude: A simplistic algorithm of estimating magnitude of shock

psdskewness: Calculate the skewness based on Poisson sum of moments

psdunittest: Perform unit tests on the specified PSD S3 object

psdvariance: Calculate the variance based on Poisson sum of moments

r10y_logr: Log-return of R10Y

rawcdf: Calculate the raw CDF

rawcdfinv: Calculate Inverse of CDF using Newton's method

rawdensity: The probability density function of PSD without location...

rawdensity0: The raw PDF at x=0

rawdensity_kth: The k-th item of the raw PDF

rawdensityslope: Calculate the slope of the PDF (dP/dx)

rawmean: Utility to construct a PSD S3 object with calculated mean

rawmu1: Calculate the Poisson sum of the first moment (mean) of PSD...

rawmu2: Calculate the Poisson sum of the second moment of PSD without...

rawmu3: Calculate the Poisson sum of the third moment of PSD without...

rawmu4: Calculate the Poisson sum of the fourth moment of PSD without...

rawsn: Internal utility for SN related function

SPSD: Simple PSD constructor

standardfit: Standard utility to perform nonlinear PSD fit

szd_logr: Log-return of SZD/USD

tailindex: Calculate the tail index

tailindex_plot: Generate the plot of tail index for the specified PSD

TimeSeriesLogReturn: Convert price series to log-return series

vix_logr: Log-return of VIX

Files in this package

LIHNPSD
LIHNPSD/MD5
LIHNPSD/Rplots.pdf
LIHNPSD/R
LIHNPSD/R/LIHNPSD.r
LIHNPSD/PSD-Paper.pdf
LIHNPSD/NAMESPACE
LIHNPSD/man
LIHNPSD/man/vix_logr.Rd LIHNPSD/man/TimeSeriesLogReturn.Rd LIHNPSD/man/tailindex_plot.Rd LIHNPSD/man/tailindex.Rd LIHNPSD/man/szd_logr.Rd LIHNPSD/man/standardfit.Rd LIHNPSD/man/SPSD.Rd LIHNPSD/man/rawsn.Rd LIHNPSD/man/rawmu4.Rd LIHNPSD/man/rawmu3.Rd LIHNPSD/man/rawmu2.Rd LIHNPSD/man/rawmu1.Rd LIHNPSD/man/rawmean.Rd LIHNPSD/man/rawdensity_kth.Rd LIHNPSD/man/rawdensityslope.Rd LIHNPSD/man/rawdensity0.Rd LIHNPSD/man/rawdensity.Rd LIHNPSD/man/rawcdfinv.Rd LIHNPSD/man/rawcdf.Rd LIHNPSD/man/r10y_logr.Rd LIHNPSD/man/psdvariance.Rd LIHNPSD/man/psdunittest.Rd LIHNPSD/man/psdskewness.Rd LIHNPSD/man/psdmagnitude.Rd LIHNPSD/man/psdkurtosis.Rd LIHNPSD/man/psdkernel.Rd LIHNPSD/man/prepare.Rd LIHNPSD/man/poisson_sum_kth.Rd LIHNPSD/man/poisson_sum.Rd LIHNPSD/man/mu_n_core.Rd LIHNPSD/man/mu4_analytic.Rd LIHNPSD/man/mu3_analytic.Rd LIHNPSD/man/mu2_analytic.Rd LIHNPSD/man/mu1_analytic.Rd LIHNPSD/man/MergeTailHistogramOneSide.Rd LIHNPSD/man/MergeTailHistogram.Rd LIHNPSD/man/LihnTildeFunction.Rd LIHNPSD/man/LIHNPSD_UnitTest.Rd LIHNPSD/man/LIHNPSD_theoretical_result.Rd LIHNPSD/man/LIHNPSD_standardfit_test.Rd LIHNPSD/man/LIHNPSD_standardfit_fn.Rd LIHNPSD/man/LIHNPSD_prepare_data.Rd LIHNPSD/man/LIHNPSD_plot_std4gr.Rd LIHNPSD/man/LIHNPSD_plotqq.Rd LIHNPSD/man/LIHNPSD_plotpdf.Rd LIHNPSD/man/LIHNPSD_plotlogpdf.Rd LIHNPSD/man/LIHNPSD_plotcdf.Rd LIHNPSD/man/LIHNPSD-package.Rd LIHNPSD/man/LihnFunctionValidate.Rd LIHNPSD/man/LihnFunctionSum.Rd LIHNPSD/man/LihnFunctionKth.Rd LIHNPSD/man/LihnFunctionAnalytic.Rd LIHNPSD/man/LihnBetaPoly.Rd LIHNPSD/man/gold_logr.Rd LIHNPSD/man/generatepdf.Rd LIHNPSD/man/dot_N.Rd LIHNPSD/man/dji_logr.Rd LIHNPSD/man/density.Rd LIHNPSD/man/calcqq.Rd
LIHNPSD/LIHNPSD-manual.pdf
LIHNPSD/DESCRIPTION
LIHNPSD/data
LIHNPSD/data/vix_logr.rda
LIHNPSD/data/szd_logr.rda
LIHNPSD/data/r10y_logr.rda
LIHNPSD/data/gold_logr.rda
LIHNPSD/data/dji_logr.rda

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