FatTailsR: 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.

Version:	2.0.0
Depends:	R (≥ 4.1.0)
Imports:	minpack.lm, timeSeries, parallel, methods, stats
Suggests:	zoo, xts
Published:	2025-04-21
DOI:	10.32614/CRAN.package.FatTailsR
Author:	Patrice Kiener [aut, cre]
Maintainer:	Patrice Kiener <fattailsr at inmodelia.com>
License:	GPL-2
URL:	https://www.inmodelia.com/fattailsr-en.html
NeedsCompilation:	no
Citation:	FatTailsR citation info
Materials:	NEWS
In views:	Distributions, Finance
CRAN checks:	FatTailsR results

Documentation:

Reference manual:

FatTailsR.pdf

Downloads:

Package source:	FatTailsR_2.0.0.tar.gz
Windows binaries:	r-devel: FatTailsR_2.0.0.zip, r-release: FatTailsR_2.0.0.zip, r-oldrel: FatTailsR_2.0.0.zip
macOS binaries:	r-release (arm64): FatTailsR_2.0.0.tgz, r-oldrel (arm64): FatTailsR_2.0.0.tgz, r-release (x86_64): FatTailsR_2.0.0.tgz, r-oldrel (x86_64): FatTailsR_2.0.0.tgz
Old sources:	FatTailsR archive

Reverse dependencies:

Reverse suggests:

fitteR

Linking:

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