Kiener Distributions and Fat Tails in Finance

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.


News

=== FatTailsR: Kiener Distributions and Fat Tails in Finance ===

Suggestions for next versions

  • Robust regression to reduce influence of outliers

FatTailsR 1.7-5 - 2017-05-16 - current version on CRAN

FatTailsR 1.7-3 - 2017-01-07

  • mData
  • extractData rewritten: "zoo" produces an index in Date format

FatTailsR 1.7-2 - 2016-10-26

  • Package generated from Windows and Linux

FatTailsR 1.7-0 - 2016-05-15 - in CRAN archives

  • Codename: Dimanche de Pentecote
  • MAIN NOVELTIES vs 1.6-0: -- (dpqr)kiener7() vectorized for vector and matrix -- checkcoefk(), replaceNA() -- fatreturns(), logret() and elevate()
  • See details below

FatTailsR 1.6-6 - 2016-05-15

  • Version for AB and documentation synchronised with FatTailsRplot.
  • checkquantiles(..., STOP = FALSE) in estimkiener5/7/11().

FatTailsR 1.6-4 - 2016-04-30

  • extractData(pr="r") uses fatreturns rather than 100*diff(log()). Much better...

FatTailsR 1.6-3 - 2016-04-15

  • New page *kiener7.R and new functions *kiener7() with (x,q,p) integer or vector and (coefk) vector or matrix.
  • New parameter signedES in eskiener12347.R(..., signedES = FALSE) FALSE = (abs(ltm), abs(rtm)). TRUE = (ltm, rtm).
  • Change the page names and collate order

FatTailsR 1.6-2 - 2016-04-11

  • new functions: checkcoefk(), replaceNA()
  • new function: ckiener7() deals with p vector and coefk matrix (recycling)
  • dimdim(NULL) returns now c(0,0) (before c(1,0))
  • checkquantiles() rewritten with a stop by default except if STOP = FALSE
  • parallel::makeCluster() now requires package {methods}

FatTailsR 1.6-1 - 2016-04-03

  • fatreturns, logret and elevate transferred from FatTailsRplot to FatTailsR

FatTailsR 1.6-0 - 2016-02-20 - in CRAN archives

  • Codename: Caucus in Nevada
  • Bug when lower.tail was FALSE. New version is such that: ltmkiener?(p, ..., lower.tail=FALSE) == rtmkiener?(p, ..., lower.tail=TRUE) rtmkiener?(p, ..., lower.tail=FALSE) == ltmkiener?(p, ..., lower.tail=TRUE) eskiener?() =ltmkiener? for left tail, =rtmkiener? for right tail and always positive

FatTailsR 1.5-8 - 2016-02-04

  • fitkienerX, paramkienerX, paramkienerX5, paramkienerX7 Recursive approach: accept list of vectors, matrix, timeSeries, xts, zoo...

FatTailsR 1.5-6 - 2015-12-25

  • R updated from R-3.1.0 to R-3.2.3
  • Expected Shortfall added to {regkienerLX} (dfrESkPk and dfrESkLk)

FatTailsR 1.5-3 - 2015-11-13

  • Improved parallelization of arrays in {fitkienerX} and {paramkienerX57}

FatTailsR 1.5-0 - 2015-11-08 - in CRAN archives

  • Codename: Rugby World cup - All Blacks win
  • Parallelization of arrays in {fitkienerX} and {paramkienerX57}
  • Bugs fixed: -- {fitkienerX} returned NA in columns {xmoments} ("m1x","sdx","skx","kex") -- {dimdim} returned wrong values with data.frame

FatTailsR 1.4-1 - 2015-10-25 - in CRAN archives

  • Codename: Rugby World cup
  • A major update !!
  • 3 months of intensive work for better performance and higher flexibility
  • Compatible with commercial package FatTailsRplot (several advanced plots) -- Plots can be seen in 2014 and 2015 presentations at R/Rmetrics Conference -- Contact me for a demo

NEW FUNCTIONS

  • Functions {fitkienerX} and {paramkienerX}: -- accomodate vectors, matrix, data.frame, arrays and lists -- replace {fitkienerLX} and {estimkienerX} (1.2-0) which are suppressed (we apologize to early users who will have to rewrite their code) The new code is much better. -- same output than {regkienerLX}$fitk -- some parameters renamed ("g.01" changed to "dg.01") -- smallest dataset must have more than 15 valid quantiles. -- return a huge vector {fitk} with quantiles, moments, VaR, ES, etc...
  • Predefined {exfit0},..,{exfit7} to subset this vector {fitk}
  • {pprobs0},..,{pprobs9} as preset values of probabilities to be combined with
  • {getnamesk} to generate parameter names
  • p1 replaces 1-p1 in elevenprobs (14 august 2015)
  • {dimdim}, {dimdim1}: alternate version to {dim} (03 August 2015)
  • {roundcoefk} to simplify parameter rounding (+ preset values) (1 August 2015, 1.2-6)
  • {ltmkiener1234}, {rtmkiener1234} {eskiener1234} Left tail mean and Right tail mean as signed (+/-) Expected Shortfall for left and right tails (18 September 2015)
  • {hkiener1234} generate parameter h.01,..,h.99 (ES/ES_logis) (18 October 2015)
  • {ExtractData} as a wrapper of tData, xData, zData, dfData
  • Colnames with upper cases in datasets df,t,x,zData (14 August 2015)
  • {kmoments}, {xmoments} examples rewritten

FatTailsR 1.2-3 - 2015-07-08 - in CRAN archives

  • Code 1.2-0 made compliant with R-devel (next R 3.3-0).

FatTailsR 1.2-0 - 2015-06-18 - in CRAN archives

  • Codename: Appel du 18 juin
  • Title changed to: Kiener Distributions and Fat Tails in Finance.
  • Raw and central moments.
  • regkienerLX has now a @exportClass(clregk).
  • fitkienerLX: same algorithm than regkienerLX but displays a flat table.
  • estimkienerX: new algorithm based on 5, 7, 9 or 11 quantiles.
  • {checkquantiles}
  • {pk2pk} conversion function
  • {ckiener1234} and parameter {c.01},..,{c.99}

FatTailsR 1.0-3 - 2014-07-14 - in CRAN archives

  • Codename : Liberte, Egalite, Fraternite
  • Initial release.
  • Title: Power Hyperbolic Functions and Kiener Distributions.
  • Developped with R version R-3.1.0

Reference manual

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install.packages("FatTailsR")

1.7-5 by Patrice Kiener, 2 years ago


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


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


Authors: Patrice Kiener


Documentation:   PDF Manual  


Task views: Probability Distributions, Empirical Finance


GPL-2 license


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

Suggests zoo, xts


Suggested by fitteR.


See at CRAN