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

Functions

calcqq Man page
density Man page
dji_logr Man page
generatepdf Man page
gold_logr Man page
LihnBetaPoly Man page
LihnFunctionAnalytic Man page
LihnFunctionKth Man page
LihnFunctionSum Man page
LihnFunctionValidate Man page
LIHNPSD Man page
LIHNPSD-package Man page
LIHNPSD_plotcdf Man page
LIHNPSD_plotlogpdf Man page
LIHNPSD_plotpdf Man page
LIHNPSD_plotqq Man page
LIHNPSD_plot_std4gr Man page
LIHNPSD_prepare_data Man page
LIHNPSD_standardfit_fn Man page
LIHNPSD_standardfit_test Man page
LIHNPSD_theoretical_result Man page
LIHNPSD_UnitTest Man page
LihnTildeFunction Man page
MergeTailHistogram Man page
MergeTailHistogramOneSide Man page
mu1_analytic Man page
mu2_analytic Man page
mu3_analytic Man page
mu4_analytic Man page
mu_n_core Man page
.N Man page
poisson_sum Man page
poisson_sum_kth Man page
prepare Man page
psdkernel Man page
psdkurtosis Man page
psdmagnitude Man page
psdskewness Man page
psdunittest Man page
psdvariance Man page
r10y_logr Man page
rawcdf Man page
rawcdfinv Man page
rawdensity Man page
rawdensity0 Man page
rawdensity_kth Man page
rawdensityslope Man page
rawmean Man page
rawmu1 Man page
rawmu2 Man page
rawmu3 Man page
rawmu4 Man page
rawsn Man page
SPSD Man page
standardfit Man page
szd_logr Man page
tailindex Man page
tailindex_plot Man page
TimeSeriesLogReturn Man page
vix_logr Man page

Files

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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