Package Information

CMA

CMA: Copula-Marginal Algorithm

CMA Algorithm

A two-step recipe to manipulate multivariate distributions

cma_separation()

CMA Separation Step

cma_combination()

CMA combination Step

Marginal Distributions

Tools to manipulate the unique characteristics of a distribution

fit_ghd()

Estimation of the Generalized Hyperbolic Distribution

fit_hyp()

Estimation of the Hyperbolic Distribution

fit_nig()

Estimation of the Normal-Inverse Gaussian Distribution

fit_normal()

Estimation of the Normal Distribution

fit_t()

Estimation of the Student-t Distribution

fit_vg()

Estimation of the Variance-Gamma Distribution

Copulas

Tools to manipulate the joint characteristics of a distribution

copula_transformation()

Copula Normalization

fit_copula_clayton() fit_copula_gumbel() fit_copula_frank() fit_copula_t() fit_copula_normal() fit_copula_joe()

Archimedean Copulas for Scenario Analysis

Generate

Build scenarios from fitted objects

generate_margins()

Generate Marginal Distributions

generate_copulas()

Generate Copulas

Moment-Matching

An algorithm to match exactly the location and dispersion parameters of a distribution

match_normal()

Moment Matching for the Normal Distribution

match_t()

Moment Matching for the t Distribution

Panic

Generate ex-ante worst case scenarios via entropy-pooling

panic_copula()

Panic-Copula for Stress-Testing

plot_panic_distribution()

Visualize a Panic Distribution

empirical_stats()

Summary Statistics for Empirical Distributions

Utilities

Additional functions

entropy_pooling()

Numerical Entropy Minimization

fp_moments()

Moments under Flexible Probabilities