LIHNPSD: Poisson Subordinated Distribution
Version 0.2.1

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

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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
URL http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2032762
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("LIHNPSD")

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

.N Man page
ConvertDistToSample Source code
LIHNPSD Man page
LIHNPSD-package Man page
LIHNPSD_UnitTest Man page Source code
LIHNPSD_plot_std4gr Man page Source code
LIHNPSD_plotcdf Man page Source code
LIHNPSD_plotlogpdf Man page Source code
LIHNPSD_plotpdf Man page Source code
LIHNPSD_plotqq Man page Source code
LIHNPSD_prepare_data Man page Source code
LIHNPSD_standardfit_fn Man page Source code
LIHNPSD_standardfit_test Man page Source code
LIHNPSD_theoretical_result Man page Source code
LihnBetaPoly Man page Source code
LihnFunctionAnalytic Man page Source code
LihnFunctionKth Man page Source code
LihnFunctionSum Man page Source code
LihnFunctionValidate Man page Source code
LihnTildeFunction Man page Source code
MergeTailHistogram Man page Source code
MergeTailHistogramOneSide Man page Source code
N Source code
ParetoDiff2 Source code
PoissonTerm Source code
SPSD Man page Source code
TimeSeriesLogReturn Man page Source code
calcqq Man page Source code
calcqq.LIHNPSD Source code
density Man page Source code
density.LIHNPSD Source code
dji_logr Man page
generatepdf Man page Source code
generatepdf.LIHNPSD Source code
gold_logr Man page
mu1_analytic Man page Source code
mu1_analytic.LIHNPSD Source code
mu2_analytic Man page Source code
mu2_analytic.LIHNPSD Source code
mu3_analytic Man page Source code
mu3_analytic.LIHNPSD Source code
mu4_analytic Man page Source code
mu4_analytic.LIHNPSD Source code
mu_n_core Man page Source code
mu_n_core.LIHNPSD Source code
poisson_sum Man page Source code
poisson_sum.LIHNPSD Source code
poisson_sum_kth Man page Source code
poisson_sum_kth.LIHNPSD Source code
prepare Man page Source code
prepare.LIHNPSD Source code
psdkernel Man page Source code
psdkernel.LIHNPSD Source code
psdkurtosis Man page Source code
psdkurtosis.LIHNPSD Source code
psdmagnitude Man page Source code
psdmagnitude.LIHNPSD Source code
psdskewness Man page Source code
psdskewness.LIHNPSD Source code
psdunittest Man page Source code
psdunittest.LIHNPSD Source code
psdvariance Man page Source code
psdvariance.LIHNPSD Source code
r10y_logr Man page
rawcdf Man page Source code
rawcdf.LIHNPSD Source code
rawcdfinv Man page Source code
rawcdfinv.LIHNPSD Source code
rawdensity Man page Source code
rawdensity.LIHNPSD Source code
rawdensity0 Man page Source code
rawdensity0.LIHNPSD Source code
rawdensity_kth Man page Source code
rawdensity_kth.LIHNPSD Source code
rawdensityslope Man page Source code
rawdensityslope.LIHNPSD Source code
rawmean Man page Source code
rawmean.LIHNPSD Source code
rawmu1 Man page Source code
rawmu1.LIHNPSD Source code
rawmu2 Man page Source code
rawmu2.LIHNPSD Source code
rawmu3 Man page Source code
rawmu3.LIHNPSD Source code
rawmu4 Man page Source code
rawmu4.LIHNPSD Source code
rawsn Man page Source code
rawsn.LIHNPSD Source code
standardfit Man page Source code
standardfit.LIHNPSD Source code
szd_logr Man page
tailindex Man page Source code
tailindex.LIHNPSD Source code
tailindex_plot Man page Source code
tailindex_plot.LIHNPSD Source code
vix_logr Man page

Files

MD5
Rplots.pdf
R
R/LIHNPSD.r
PSD-Paper.pdf
NAMESPACE
man
man/vix_logr.Rd
man/TimeSeriesLogReturn.Rd
man/tailindex_plot.Rd
man/tailindex.Rd
man/szd_logr.Rd
man/standardfit.Rd
man/SPSD.Rd
man/rawsn.Rd
man/rawmu4.Rd
man/rawmu3.Rd
man/rawmu2.Rd
man/rawmu1.Rd
man/rawmean.Rd
man/rawdensity_kth.Rd
man/rawdensityslope.Rd
man/rawdensity0.Rd
man/rawdensity.Rd
man/rawcdfinv.Rd
man/rawcdf.Rd
man/r10y_logr.Rd
man/psdvariance.Rd
man/psdunittest.Rd
man/psdskewness.Rd
man/psdmagnitude.Rd
man/psdkurtosis.Rd
man/psdkernel.Rd
man/prepare.Rd
man/poisson_sum_kth.Rd
man/poisson_sum.Rd
man/mu_n_core.Rd
man/mu4_analytic.Rd
man/mu3_analytic.Rd
man/mu2_analytic.Rd
man/mu1_analytic.Rd
man/MergeTailHistogramOneSide.Rd
man/MergeTailHistogram.Rd
man/LihnTildeFunction.Rd
man/LIHNPSD_UnitTest.Rd
man/LIHNPSD_theoretical_result.Rd
man/LIHNPSD_standardfit_test.Rd
man/LIHNPSD_standardfit_fn.Rd
man/LIHNPSD_prepare_data.Rd
man/LIHNPSD_plot_std4gr.Rd
man/LIHNPSD_plotqq.Rd
man/LIHNPSD_plotpdf.Rd
man/LIHNPSD_plotlogpdf.Rd
man/LIHNPSD_plotcdf.Rd
man/LIHNPSD-package.Rd
man/LihnFunctionValidate.Rd
man/LihnFunctionSum.Rd
man/LihnFunctionKth.Rd
man/LihnFunctionAnalytic.Rd
man/LihnBetaPoly.Rd
man/gold_logr.Rd
man/generatepdf.Rd
man/dot_N.Rd
man/dji_logr.Rd
man/density.Rd
man/calcqq.Rd
LIHNPSD-manual.pdf
DESCRIPTION
data
data/vix_logr.rda
data/szd_logr.rda
data/r10y_logr.rda
data/gold_logr.rda
data/dji_logr.rda
LIHNPSD documentation built on May 19, 2017, 10:04 p.m.