A B C D E F H J K L M N P Q R S T U V X
QRMlib-package | This package provides R-language code to investigate concepts in a Quantitative Risk Management book for those users without access to S-Plus. |
aggregateMonthlySeries | aggregateMonthlySeries() method |
aggregateQuarterlySeries | aggregateQuarterlySeries() method |
aggregateSignalSeries | aggregateSignalSeries() method |
aggregateWeeklySeries | aggregateWeeklySeries() method |
besselM3 | Modified Bessel Function of 3rd Kind |
BetaDist | The Beta Distribution |
BiDensPlot | Bivariate Density Plot |
cac40 | CAC 40 Stock Market Index |
cal.beta | Calibrate Beta Mixture of Bernoullis |
cal.claytonmix | Calibrate Mixture of Bernoullis Equivalent to Clayton Copula Model |
cal.probitnorm | Calibrate Probitnormal Mixture of Bernoullis |
claytonmix | Mixing Distribution on Unit Interval Yielding Clayton Copula Model |
CovToCor | Covariance To Correlation Matrix |
danish | Danish Data |
dbeta | The Beta Distribution |
dclaytonmix | Mixing Distribution on Unit Interval Yielding Clayton Copula Model |
dcopula.clayton | Bivariate Clayton Copula Density |
dcopula.gauss | Gauss Copula Density |
dcopula.gumbel | Bivariate Gumbel Copula Density |
dcopula.t | t Copula Density |
dGEV | Generalized Extreme Value Distribution |
dghyp | Univariate Generalized Hyperbolic Distribution |
dghypB | Univariate Generalized Hyperbolic Distribution B |
dGPD | Generalized Pareto Distribution |
dGumbel | Gumbel Distribution |
DJ | Dow Jones 30 Stock Prices |
dji | Dow Jones Index |
dmghyp | Multivariate Generalized Hyperbolic Distribution |
dmnorm | Multivariate Normal Density |
dmt | Multivariate Student t Density |
dprobitnorm | Probit-Normal Distribution |
dsmghyp | Symmetric Multivariate Generalized Hyperbolic Distribution |
edf | Empirical Distribution Function |
EGIG | Estimate Moments of GIG Distribution |
eigenmeth | Make Matrix Positive Definite |
ElogGIG | Log Moment of GIG |
EMupdate | EM Update Step for Generalized Hyperbolic Estimation |
equicorr | Equicorrelation Matrix |
ESnorm | Expected Shortfall for Normal Distribution |
ESst | Expected Shortfall for Student t Distribution |
extremalPP | Extremal Point Process |
findthreshold | Find a Threshold |
fit.Archcopula2d | Fit 2D Archimedean Copula |
fit.binomial | Fit Binomial Distribution |
fit.binomialBeta | Fit Beta-Binomial Distribution |
fit.binomialLogitnorm | Fit Logitnormal-Binomial Distribution |
fit.binomialProbitnorm | Fit Probitnormal-Binomial Distribution |
fit.gausscopula | Fit Gauss Copula |
fit.GEV | Fit Generalized Extreme Value Distribution |
fit.GPD | Fit Generalized Pareto Model |
fit.GPDb | Fit Generalized Pareto Model B |
fit.mNH | Fit Multivariate NIG or Hyperbolic Distribution |
fit.mst | Fit Multivariate Student t Distribution |
fit.NH | Fit NIG or Hyperbolic Distribution |
fit.norm | Fit Multivariate Normal |
fit.POT | Peaks-over-Threshold Model |
fit.seMPP | Fit Marked Self-Exciting Point Process |
fit.sePP | Fit Self-Exciting Process |
fit.st | Fit Student t Distribution |
fit.tcopula | Fit t Copula |
fit.tcopula.rank | Fit t Copula Using Rank Correlations |
ftse100 | FTSE 100 Stock Market Index |
FXGBP.RAW | Sterling Exchange Rates |
hessb | Approximate Hessian Matrix |
hillPlot | Create Hill Plot |
hsi | Hang Seng Stock Market Index |
jointnormalTest | Test of Multivariate Normality |
Kendall | Kendall's Rank Correlation |
kurtosisSPlus | S-Plus Version of Kurtosis which differs from the R-versions |
lbeta | Log Beta Function |
MardiaTest | Mardia's Tests of Multinormality |
MCECM.Qfunc | Optimization Function for MCECM Fitting of GH |
MCECMupdate | MCECM Update Step for Generalized Hyperbolic |
MEplot | Sample Mean Excess Plot |
mghyp | Multivariate Generalized Hyperbolic Distribution |
mk.its.exceedances.tS | Extract Exceedances over a Threshold into Irregular Time Series for Plotting when Input is TimeSeries |
mk.its.exceedances.vector | Extract Exceedances over Threshold into Irregular Time Series for Plotting when Input is Vector |
mk.oldts | Make Old Style Time Series |
mk.returns | Make Financial Return Data |
momest | Moment Estimator of Default Probabilities |
nasdaq | NASDAQ Stock Market Index |
nikkei | Nikkei Stock Market Index |
pbeta | The Beta Distribution |
pclaytonmix | Mixing Distribution on Unit Interval Yielding Clayton Copula Model |
Pconstruct | Assemble a Correlation Matrix for ML Copula Fitting |
Pdeconstruct | Disassemble a Correlation Matrix for ML Copula Fitting |
pGEV | Generalized Extreme Value Distribution |
pGPD | Generalized Pareto Distribution |
pGumbel | Gumbel Distribution |
plot.MPP | Plot Marked Point Process |
plot.PP | Plot Point Process |
plot.sePP | Plot Self-Exciting Point Process |
plot.timeSeriesIts | Plot single or multiple timeSeries objects on same graph |
plotFittedGPDvsEmpiricalExcesses | Graphically Compare Empirical Distribution of Excesses and GPD Fit |
plotTail | Tail Plot of GPD Model |
pprobitnorm | Probit-Normal Distribution |
probitnorm | Probit-Normal Distribution |
profileLoadLibrary | Build .Rprofile File to Load QRM Library in QRMBook Workspace |
psifunc | Psi or Digamma Function |
qbeta | The Beta Distribution |
qGEV | Generalized Extreme Value Distribution |
qGPD | Generalized Pareto Distribution |
qGumbel | Gumbel Distribution |
QQplot | Generic Quantile-Quantile Plot |
QRMBook-workspace | How to Build a QRMBook Workspace in R to Use QRMlib |
QRMlib | This package provides R-language code to investigate concepts in a Quantitative Risk Management book for those users without access to S-Plus. |
qst | Student's t Distribution (3 parameter) |
rAC | Generate Archimedean Copula |
rBB9Mix | Mixture Distribution Yielding BB9 Copula |
rbeta | The Beta Distribution |
rbinomial.mixture | Sample Mixed Binomial Distribution |
rclaytonmix | Mixing Distribution on Unit Interval Yielding Clayton Copula Model |
rcopula.AGumbel | Generate Asymmetric Gumbel Copula |
rcopula.clayton | Clayton Copula Simulation |
rcopula.frank | Frank Copula Simulation |
rcopula.gauss | Gauss Copula Simulation |
rcopula.gumbel | Gumbel Copula Simulation |
rcopula.Gumbel2Gp | Gumbel Copula with Two-Group Structure |
rcopula.GumbelNested | Gumbel Copula with Nested Structure |
rcopula.t | t Copula Simulation |
rFrankMix | Mixture Distribution Yielding Frank Copula |
rGEV | Generalized Extreme Value Distribution |
rghyp | Univariate Generalized Hyperbolic Distribution |
rghypB | Univariate Generalized Hyperbolic Distribution B |
rGIG | Generate Random Vector from Generalized Inverse Gaussian Distribution |
rGPD | Generalized Pareto Distribution |
RiskMeasures | Calculate Risk Measures from GPD Fit |
rlogitnorm | Random Number Generation from Logit-Normal Distribution |
rmghyp | Multivariate Generalized Hyperbolic Distribution |
rmnorm | Multivariate Normal Random Sample |
rmt | Multivariate t |
rprobitnorm | Probit-Normal Distribution |
rstable | Stable Distribution |
rtcopulamix | Mixing Distribution on Unit Interval Yielding t Copula Model |
seMPP.negloglik | Marked Self-Exciting Point Process Log-Likelihood |
sePP.negloglik | Self-Exciting Point Process Log-Likelihood |
showRM | Show Risk Measure Estimates on Tailplot |
signalSeries | signalSeries object |
smi | Swiss Market Index |
sp500 | Standard and Poors 500 Index |
spdata | Standard and Poors Default Data |
spdata.raw | Standard and Poors Default Data |
Spearman | Spearman's Rank Correlation |
stationary.sePP | Stationarity of Self-Exciting Model |
storeDataInWorkspace | How to Store Data in a QRMBook Workspace |
symmetrize | Ensure Symmetric Matrix |
timeSeriesClass | timeSeries Objects in R |
TimeSeriesClassRMetrics | timeSeries Class and Methods |
unmark | Unmark Point Process |
volfunction | Self-Excitement Function |
xdax | Xetra DAX Index |
xiplot | GPD Shape Parameter Plot |