FatTailsR (1.7-5)

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Kiener Distributions and Fat Tails in Finance.

http://www.inmodelia.com/fattailsr-en.html
http://cran.r-project.org/web/packages/FatTailsR

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.

Maintainer: Patrice Kiener
Author(s): Patrice Kiener

License: GPL-2

Uses: minpack.lm, timeSeries, zoo, xts

Released 5 months ago.


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