LIHNPSD: Poisson Subordinated Distribution

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

Author
Stephen Horng-Twu Lihn <stevelihn@gmail.com>
Date of publication
2012-04-13 05:19:27
Maintainer
Stephen Horng-Twu Lihn <stevelihn@gmail.com>
License
GPL-2
Version
0.2.1
URLs

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