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FatTailsR (version 2.0.0)

Kiener Distributions and Fat Tails in Finance and Neuroscience

Description

Kiener distributions K1, K2, K3, K4 and K7 to characterize distributions with left and right, symmetric or asymmetric fat tails in finance, neuroscience and other disciplines. Two algorithms to estimate the distribution parameters, quantiles, value-at-risk and expected shortfall. IMPORTANT: Standardization has been changed in versions >= 2.0.0 to get sd = 1 when kappa = Inf rather than 2*pi/sqrt(3) in versions <= 1.8.6. This affects parameter g (other parameters stay unchanged). Do not update if you need consistent comparisons with previous results for the g parameter.

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Version

Install

install.packages('FatTailsR')

Monthly Downloads

311

Version

2.0.0

License

GPL-2

Maintainer

Patrice Kiener

Last Published

April 21st, 2025

Functions in FatTailsR (2.0.0)

kiener1

Symmetric Kiener Distribution K1
getnamesk

Generate a list of vectors of characters from a vector of probabilities
fitkienerX

Estimation and Regression Functions for Kiener Distributions
kiener4

Asymmetric Kiener Distribution K4
kashp

Kashp Function
fatreturns

Simple and Elaborated Prices to Returns
extractData

Datasets dfData, mData, tData, xData, zData, extractData : extractData
kiener3

Asymmetric Kiener Distribution K3
kiener2

Asymmetric Kiener Distribution K2
getDSdata

Get DS Dataset
mData

Datasets dfData, mData, tData, xData, zData, extractData : mData
pk2pk

Global Conversion Function Between Kiener Distribution Parameters
logit

Logit and Invlogit Functions
kmoments

Moments Associated To Kiener Distribution Parameters
laplacegaussnorm

Laplace-Gauss Normal Distribution Object
roundcoefk

Round Coefk
regkienerLX

Regression Function for Kiener Distributions
kiener7

Asymmetric Kiener Distribution K7 (K2)
logisst

The Standardized Logistic Distribution
pprobs0

Several Vectors of Probabilities
zData

Datasets dfData, mData, tData, xData, zData, extractData : zData
tData

Datasets dfData, mData, tData, xData, zData, extractData : tData
xData

Datasets dfData, mData, tData, xData, zData, extractData : xData
elevate

Elevate
checkquantiles

Check Quantiles and Probabilities
elevenprobs

Eleven, Seven, Five Probabilities
checkcoefk

Check Coefk
exfit0

Parameter Subsets
ckiener1234

Quantile (VaR) and Expected Shortfall Corrective Functions
dfData

Datasets dfData, mData, tData, xData, zData, extractData : dfData
aw2k

Local Conversion Functions Between Kiener Distribution Parameters
estimkiener11

Estimation Functions with 5, 7 or 11 Quantiles
FatTailsR-package

Package FatTailsR