Kiener distributions K1, K2, K3, K4 and K7 to characterize distributions with left and right, symmetric or asymmetric fat tails in market finance, neuroscience and other disciplines. Two algorithms to estimate with a high accuracy distribution parameters, quantiles, value-at-risk and expected shortfall. Include power hyperbolas and power hyperbolic functions.

Documentation

Manual: FatTailsR.pdf
Vignette: None available.

Maintainer: Patrice Kiener <fattailsr at inmodelia.com>

Author(s): Patrice Kiener

Install package and any missing dependencies by running this line in your R console:

install.packages("FatTailsR")

Depends R (>= 3.1.0)
Imports minpack.lm, timeSeries, parallel, methods, stats
Suggests zoo, xts
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Package FatTailsR
Materials
URL http://www.inmodelia.com/fattailsr-en.html
Task Views Distributions , Finance
Version 1.7-5
Published 2017-05-16
License GPL-2
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks FatTailsR check results
Package source FatTailsR_1.7-5.tar.gz