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cran
fBasics:Rmetrics - Markets and Basic Statistics
Provides a collection of functions to explore and to investigate basic properties of financial returns and related quantities. The covered fields include techniques of explorative data analysis and the investigation of distributional properties, including parameter estimation and hypothesis testing. Even more there are several utility functions for data handling and management.
Maintained by Georgi N. Boshnakov. Last updated 7 months ago.
2 stars 7.19 score 131 dependents
tsmodels
tsdistributions:Location Scale Standardized Distributions
Location-Scale based distributions parameterized in terms of mean, standard deviation, skew and shape parameters and estimation using automatic differentiation. Distributions include the Normal, Student and GED as well as their skewed variants ('Fernandez and Steel'), the 'Johnson SU', and the Generalized Hyperbolic. Also included is the semi-parametric piece wise distribution ('spd') with Pareto tails and kernel interior.
Maintained by Alexios Galanos. Last updated 5 months ago.
distributionsfinanceprobability-distributionprobability-distributionsstatistical-distributionstimeseriescpp
4 stars 6.66 score 19 scripts 2 dependents
ajmcneil
tscopula:Time Series Copula Models
Functions for the analysis of time series using copula models. The package is based on methodology described in the following references. McNeil, A.J. (2021) <doi:10.3390/risks9010014>, Bladt, M., & McNeil, A.J. (2021) <doi:10.1016/j.ecosta.2021.07.004>, Bladt, M., & McNeil, A.J. (2022) <doi:10.1515/demo-2022-0105>.
Maintained by Alexander McNeil. Last updated 1 months ago.
2 stars 5.53 score 12 scripts
dennisprangle
gk:g-and-k and g-and-h Distribution Functions
Functions for the g-and-k and generalised g-and-h distributions.
Maintained by Dennis Prangle. Last updated 2 years ago.
5 stars 3.72 score 21 scripts