Kiener Distributions and Fat Tails in Finance and Neuroscience
Local Conversion Functions Between Kiener Distribution Parameters
Check Coefk
Check Quantiles and Probabilities
Quantile (VaR) and Expected Shortfall Corrective Functions
Elevate
Eleven, Seven, Five Probabilities
Estimation Functions with 5, 7 or 11 Quantiles
Parameter Subsets
Datasets dfData, mData, tData, xData, zData, extractData : extractData
Simple and Elaborated Prices to Returns
Package FatTailsR
Estimation and Regression Functions for Kiener Distributions
Get DS Dataset
Generate a list of vectors of characters from a vector of probabilitie...
Kashp Function
Symmetric Kiener Distribution K1
Asymmetric Kiener Distribution K2
Asymmetric Kiener Distribution K3
Asymmetric Kiener Distribution K4
Asymmetric Kiener Distribution K7 (K2)
Moments Associated To Kiener Distribution Parameters
Laplace-Gauss Normal Distribution Object
The Standardized Logistic Distribution
Logit and Invlogit Functions
Global Conversion Function Between Kiener Distribution Parameters
Several Vectors of Probabilities
Regression Function for Kiener Distributions
Round Coefk
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.