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oleksii-nikolaienko
ExtDist:Extending the Range of Functions for Probability Distributions
A consistent, unified and extensible framework for estimation of parameters for probability distributions, including parameter estimation procedures that allow for weighted samples; the current set of distributions included are: the standard beta, The four-parameter beta, Burr, gamma, Gumbel, Johnson SB and SU, Laplace, logistic, normal, symmetric truncated normal, truncated normal, symmetric-reflected truncated beta, standard symmetric-reflected truncated beta, triangular, uniform, and Weibull distributions; decision criteria and selections based on these decision criteria.
Maintained by Oleksii Nikolaienko. Last updated 2 years ago.
1 stars 5.84 score 58 scripts 2 dependents
lbelzile
VaRES:Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions
Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over one hundred parametric distributions, including all commonly known distributions. Also computed are the corresponding probability density function and cumulative distribution function. See Chan, Nadarajah and Afuecheta (2015) <doi:10.1080/03610918.2014.944658> for more details.
Maintained by Leo Belzile. Last updated 2 years ago.
1 stars 4.57 score 123 scripts 2 dependents