Package Information |
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CMA: Copula-Marginal Algorithm |
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CMA AlgorithmA two-step recipe to manipulate multivariate distributions |
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CMA Separation Step |
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CMA combination Step |
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Marginal DistributionsTools to manipulate the unique characteristics of a distribution |
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Estimation of the Generalized Hyperbolic Distribution |
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Estimation of the Hyperbolic Distribution |
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Estimation of the Normal-Inverse Gaussian Distribution |
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Estimation of the Normal Distribution |
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Estimation of the Student-t Distribution |
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Estimation of the Variance-Gamma Distribution |
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CopulasTools to manipulate the joint characteristics of a distribution |
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Copula Normalization |
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Archimedean Copulas for Scenario Analysis |
GenerateBuild scenarios from fitted objects |
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Generate Marginal Distributions |
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Generate Copulas |
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Moment-MatchingAn algorithm to match exactly the location and dispersion parameters of a distribution |
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Moment Matching for the Normal Distribution |
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Moment Matching for the t Distribution |
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PanicGenerate ex-ante worst case scenarios via entropy-pooling |
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Panic-Copula for Stress-Testing |
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Visualize a Panic Distribution |
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Summary Statistics for Empirical Distributions |
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UtilitiesAdditional functions |
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Numerical Entropy Minimization |
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Moments under Flexible Probabilities |