Kiener Distributions and Fat Tails in Finance and Neuroscience

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.


Reference manual

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install.packages("FatTailsR")

2.0.1 by Patrice Kiener, 8 months ago


https://www.inmodelia.com/fattailsr-en.html


Browse source code at https://github.com/cran/FatTailsR


Authors: Patrice Kiener [aut, cre] (ORCID:


Documentation:   PDF Manual  


GPL-2 license


Imports minpack.lm, timeSeries, parallel, methods, stats

Suggests zoo, xts


Suggested by fitteR.


See at CRAN