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tsdistributions (version 1.0.2)

Location Scale Standardized Distributions

Description

Location-Scale based distributions parameterized in terms of mean, standard deviation, skew and shape parameters and estimation using automatic differentiation. Distributions include the Normal, Student and GED as well as their skewed variants ('Fernandez and Steel'), the 'Johnson SU', and the Generalized Hyperbolic. Also included is the semi-parametric piece wise distribution ('spd') with Pareto tails and kernel interior.

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Version

Install

install.packages('tsdistributions')

Monthly Downloads

495

Version

1.0.2

License

GPL-2

Issues

Pull Requests

Stars

Forks

Repository

https://github.com/tsmodels/tsdistributions

Homepage

https://www.nopredict.com/packages/tsdistributions

Maintainer

Alexios Ghalanos

Last Published

August 23rd, 2024

Functions in tsdistributions (1.0.2)

print.summary.tsdistribution

Model Estimation Summary Print method

estimate.tsdistribution.spdspec

Estimates the parameters of a semi-parametric distribution.

tsdistributions-package

tsdistributions: Location Scale Standardized Distributions

summary.tsdistribution.estimate

Summary of estimated distribution

estimate.tsdistribution.spec

Estimates the parameters of a distribution using autodiff.

summary.tsdistribution.profile

Distribution Profile Summary

summary.tsdistribution.spdestimate

Summary of estimated SPD distribution

print.summary.tsdistribution.profile

Profile Summary Print method

vcov.tsdistribution.estimate

The Covariance Matrix of the Estimated Parameters

Generalized Hyperbolic Distribution (alpha-beta-delta-mu parameterization)

Specification of a semi-parametric distribution model

Semi-Parametric Distribution

Johnson's SU Distribution

Skewed Normal Distribution of Fernandez and Steel

Skewed Generalized Error Distribution of Fernandez and Steel

Skewed Student Distribution of Fernandez and Steel

Normal Inverse Gaussian Distribution

Student Distribution

tsmoments.tsdistribution.estimate

Extract the moments of an estimated distribution

tsprofile.tsdistribution.spec

Model Parameter Profiling

Generalized Hyperbolic Distribution (rho-zeta parameterization)

Generalized Error Distribution

distribution_bounds

Distribution Bounds

distribution_modelspec

Specification of distribution model

coef.tsdistribution.estimate

Extract Model Coefficients

authorized_domain

Distribution Authorized Domain

bread.tsdistribution.spdestimate

Generalized Hyperbolic Skewed Student Distribution

Distributions pqdr wrapper

Distribution skewness and kurtosis

AIC.tsdistribution.estimate

Akaike's An Information Criterion

Parameter Transformation

estfun.tsdistribution.estimate

logLik.tsdistribution.estimate

Extract Log-Likelihood

BIC.tsdistribution.estimate

Bayesian Information Criterion