=== FatTailsR: Kiener Distributions and Fat Tails in Finance === FatTailsR 2.0.0 - 2025-04-21 - current version on CRAN ====================================================== - Version packaged with R-4.5.0 and sent to CRAN (R-4.5.0) - First version on CRAN with the scaling parameter (x-m)*pi/sqrt(3)/g to get sd=1 at k=Inf - BREAK with previous results for the g parameter (other parameters stay unchanged). FatTailsR 1.9.10 - 2025-04-13 ============================= - version 1.9.9 packaged with R-4.5.0 - Depends changed from R >= 3.1.0 to R >= 4.1.0 - FatTailsR 1.9.11: 2025-04-20 change the DESCRIPTION FatTailsR 1.9.9 - 2024-11-12 ============================ - FatTailsR 1.9.9: rewrite all equations in proper Latex format with deqn{}{} and eqn{}{} - FatTailsR 1.9.8: rewrite kiener1234.R examples using outer() - FatTailsR 1.9.7: rewrite pkiener2347: 20x faster and much more accurate (= BIG IMPROVEMENT !!) has a similar impact on dkiener2347: 20x faster and more accurate update the examples in kiener1234 with new values for sd, xylim, logisst rewrite the examples in kashp - FatTailsR 1.9.6: update the the doc (kashp,k12347,logisst) with the new conversion dimdim is now an internal function with a hidden doc - FatTailsR 1.9.5: replace *logishp by *logisst (standardized logistic distribution). start rewriting the doc - FatTailsR 1.9.4: moments. Conversion from (x-m)/2/g to (x-m)*pi/sqrt(3)/g seems OK everywhere - FatTailsR 1.9.3: moments - FatTailsR 1.9.3: dpqr++logishp, ltm,rtmlogis, hkiener12347, hfitkX:logisk - FatTailsR 1.9.2: rtm, ltm - FatTailsR 1.9.1: estimkiener11, .hparamkienerX5 FatTailsR 1.9.0 - 2024-10-14 ============================ - Start the transition to v2 with the scaling parameter (x-m)*pi/sqrt(3)/g rather than (x-m)/2/g in order to get a variance of 1 when kappa = Inf - Remove the trigonometric functions (see them in FatTailsR23) FatTailsR 1.8-6 - 2024-04-28 ============================ - version packaged for R-4.4.0 - FINAL INTERNAL VERSION WITH (x-m)/2/g FatTailsR 1.8-5 - 2024-03-03 - in CRAN archives =============================================== - Version packaged with R-4.3.2 and sent to CRAN (R-4.3.3) - !!! FINAL PUBLIC VERSION ON CRAN WITH (x-m)/2/g !!! FatTailsR 1.8-4 - 2024-02-29 ============================ - Prepared for R-4.3.2 - rewrite 2x {p} as \code{p} in f_kiener12347 to pass new checks - replace \item{}{} by \item in m_laplaceroll to pass new checks - rename FatTailsR-package.R and arrange @include in b_data.R - split b_data.R in a_data.R and b_fatreturns.R. Arrange the @include - DESCRIPTION: arrange collate FatTailsR 1.8-3 - 2022-11-10 ============================ - Prepared for R-4.2.2 FatTailsR 1.8-2 - 2022-04-30 ============================ - Prepared with R-4.2.0 FatTailsR 1.8-0 - 2021-03-12 - in CRAN archives =============================================== - Prepared for R-4.1.0 - 36 http links changed to https thanks to urlchecker package - Roxygen 7.1.1 FatTailsR 1.7-6 - 2017-12-30 ============================ - paramkienerX5 and X7 rewritten : new algorithm -- nonlinear interpolation rather than second order approximation FatTailsR 1.7-5 - 2017-05-16 - in CRAN archives =============================================== - Codename: Sister's birthday - Version for MNHN Semin-R conference (2017-06-16) -- https://rug.mnhn.fr/semin-r/PDF/JourneeR-2017-Programme.pdf - Nothing new in this subversion - MAIN NOVELTIES vs 1.7-0: FatTailsR 1.7-3 - 2017-01-07 - mData - extractData rewritten: "zoo" produces an index in Date format FatTailsR 1.7-2 - 2016-10-26 - Package generated from Windows and Linux FatTailsR 1.7-0 - 2016-05-15 - in CRAN archives =============================================== - Codename: Dimanche de Pentecote - MAIN NOVELTIES vs 1.6-0: -- (dpqr)kiener7() vectorized for vector and matrix -- checkcoefk(), replaceNA() -- fatreturns(), logret() and elevate() - See details below FatTailsR 1.6-6 - 2016-05-15 - Version for AB and documentation synchronised with FatTailsRplot. - checkquantiles(..., STOP = FALSE) in estimkiener5/7/11(). FatTailsR 1.6-4 - 2016-04-30 - extractData(pr="r") uses fatreturns rather than 100*diff(log()). Much better... FatTailsR 1.6-3 - 2016-04-15 - New page *kiener7.R and new functions *kiener7() with (x,q,p) integer or vector and (coefk) vector or matrix. - New parameter signedES in eskiener12347.R(..., signedES = FALSE) FALSE = (abs(ltm), abs(rtm)). TRUE = (ltm, rtm). - Change the page names and collate order FatTailsR 1.6-2 - 2016-04-11 - new functions: checkcoefk(), replaceNA() - new function: ckiener7() deals with p vector and coefk matrix (recycling) - dimdim(NULL) returns now c(0,0) (before c(1,0)) - checkquantiles() rewritten with a stop by default except if STOP = FALSE - parallel::makeCluster() now requires package {methods} FatTailsR 1.6-1 - 2016-04-03 - fatreturns, logret and elevate transferred from FatTailsRplot to FatTailsR FatTailsR 1.6-0 - 2016-02-20 - in CRAN archives =============================================== - Codename: Caucus in Nevada - Bug when lower.tail was FALSE. New version is such that: ltmkiener?(p, ..., lower.tail=FALSE) == rtmkiener?(p, ..., lower.tail=TRUE) rtmkiener?(p, ..., lower.tail=FALSE) == ltmkiener?(p, ..., lower.tail=TRUE) eskiener?() =ltmkiener? for left tail, =rtmkiener? for right tail and always positive FatTailsR 1.5-8 - 2016-02-04 - fitkienerX, paramkienerX, paramkienerX5, paramkienerX7 Recursive approach: accept list of vectors, matrix, timeSeries, xts, zoo... FatTailsR 1.5-6 - 2015-12-25 - R updated from R-3.1.0 to R-3.2.3 - Expected Shortfall added to {regkienerLX} (dfrESkPk and dfrESkLk) FatTailsR 1.5-3 - 2015-11-13 - Improved parallelization of arrays in {fitkienerX} and {paramkienerX57} FatTailsR 1.5-0 - 2015-11-08 - in CRAN archives =============================================== - Codename: Rugby World cup - All Blacks win - Parallelization of arrays in {fitkienerX} and {paramkienerX57} - Bugs fixed: -- {fitkienerX} returned NA in columns {xmoments} ("m1x","sdx","skx","kex") -- {dimdim} returned wrong values with data.frame FatTailsR 1.4-1 - 2015-10-25 - in CRAN archives =============================================== - Codename: Rugby World cup - A major update !! - 3 months of intensive work for better performance and higher flexibility - Compatible with commercial package FatTailsRplot (several advanced plots) -- Plots can be seen in 2014 and 2015 presentations at R/Rmetrics Conference -- Contact me for a demo NEW FUNCTIONS - Functions {fitkienerX} and {paramkienerX}: -- accomodate vectors, matrix, data.frame, arrays and lists -- replace {fitkienerLX} and {estimkienerX} (1.2-0) which are suppressed (we apologize to early users who will have to rewrite their code) The new code is much better. -- same output than {regkienerLX}$fitk -- some parameters renamed ("g.01" changed to "dg.01") -- smallest dataset must have more than 15 valid quantiles. -- return a huge vector {fitk} with quantiles, moments, VaR, ES, etc... - Predefined {exfit0},..,{exfit7} to subset this vector {fitk} - {pprobs0},..,{pprobs9} as preset values of probabilities to be combined with - {getnamesk} to generate parameter names - p1 replaces 1-p1 in elevenprobs (14 august 2015) - {dimdim}, {dimdim1}: alternate version to {dim} (03 August 2015) - {roundcoefk} to simplify parameter rounding (+ preset values) (1 August 2015, 1.2-6) - {ltmkiener1234}, {rtmkiener1234} {eskiener1234} Left tail mean and Right tail mean as signed (+/-) Expected Shortfall for left and right tails (18 September 2015) - {hkiener1234} generate parameter h.01,..,h.99 (ES/ES_logis) (18 October 2015) - {ExtractData} as a wrapper of tData, xData, zData, dfData - Colnames with upper cases in datasets df,t,x,zData (14 August 2015) - {kmoments}, {xmoments} examples rewritten FatTailsR 1.2-3 - 2015-07-08 - in CRAN archives =============================================== - Code 1.2-0 made compliant with R-devel (next R 3.3-0). FatTailsR 1.2-0 - 2015-06-18 - in CRAN archives =============================================== - Codename: Appel du 18 juin - Title changed to: Kiener Distributions and Fat Tails in Finance. - Raw and central moments. - regkienerLX has now a @exportClass(clregk). - fitkienerLX: same algorithm than regkienerLX but displays a flat table. - estimkienerX: new algorithm based on 5, 7, 9 or 11 quantiles. - {checkquantiles} - {pk2pk} conversion function - {ckiener1234} and parameter {c.01},..,{c.99} FatTailsR 1.0-3 - 2014-07-14 - in CRAN archives =============================================== - Codename : Liberte, Egalite, Fraternite - Initial release. - Title: Power Hyperbolic Functions and Kiener Distributions. - Developped with R version R-3.1.0