FatTailsR

Last update 15 February 2026

Copyright license GNU General Public License, version 2.0

Software version identifier 1.0-3, 1.2-0, 1.2-3, 1.4-1, 1.5-0, 1.6-0, 1.7-0, 1.7-5, 1.8-0, 1.8-5, 2.0.0, PACKAGES.rds, 2.0.1

Description

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.

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