Package: fMultivar 4031.84

fMultivar: Rmetrics - Modeling of Multivariate Financial Return Distributions

A collection of functions inspired by Venables and Ripley (2002) <doi:10.1007/978-0-387-21706-2> and Azzalini and Capitanio (1999) <arxiv:0911.2093> to manage, investigate and analyze bivariate and multivariate data sets of financial returns.

Authors:Diethelm Wuertz [aut], Tobias Setz [aut], Stefan Theussl [aut, cre], Yohan Chalabi [ctb], Martin Maechler [ctb], CRAN team [ctb]

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fMultivar.pdf |fMultivar.html✨
fMultivar/json (API)
NEWS

# Install 'fMultivar' in R:
install.packages('fMultivar', repos = c('https://theussl.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

32 exports 1.95 score 19 dependencies 7 dependents 1 mentions 98 scripts 1.7k downloads

Last updated 1 years agofrom:a30fb77872. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 03 2024
R-4.5-winOKSep 03 2024
R-4.5-linuxOKSep 03 2024
R-4.4-winOKSep 03 2024
R-4.4-macOKSep 03 2024
R-4.3-winOKSep 03 2024
R-4.3-macOKSep 03 2024

Exports:adaptcontour.gridDatadcauchy2ddelliptical2ddensity2ddmvsnormdmvstdnorm2ddt2dgrid2dgridDatahexBinninghist2dintegrate2dmscFitmsnFitmstFitmvFitpcauchy2dpersp.gridDataplot.hexBinningplot.squareBinningpmvsnormpmvstpnorm2dpt2drcauchy2drmvsnormrmvstrnorm2drt2dsquareBinning

Dependencies:cubaturefBasicsgsslatticeMASSMatrixMatrixModelsmnormtmvtnormnumDerivquantregRcppsnSparseMspatialstabledistsurvivaltimeDatetimeSeries

Readme and manuals

Help Manual

Help pageTopics
Modelling Multivariate Return DistributionsfMultivar-package fMultivar
Bivariate Cauchy Distributioncauchy2d dcauchy2d pcauchy2d rcauchy2d
Bivariate Elliptical Densitiesdelliptical2d elliptical2d
Bivariate Normal Distributiondnorm2d norm2d pnorm2d rnorm2d
Bivariate Student-t Distributiondt2d pt2d rt2d t2d
Multivariate Skew Cauchy Distributiondmsc pmsc rmsc
Multivariate Skew Cauchy Parameter EstimationmscFit
Multivariate Skew-Normal Distributiondmsn pmsn rmsn
Multivariate Skew Normal Parameter EstimationmsnFit
Multivariate Skew Student-t Distributiondmst pmst rmst
Multivariate Skew Student-t Parameter EstimationmstFit
Integrator for multivariate distributionsadapt
Square and Hexagonal Data BinninghexBinning plot.hexBinning plot.squareBinning squareBinning utils-binning2
Bivariate Density Toolsdensity2d hist2d
Bivariate Density Toolsgrid2d
Bivariate Gridded Data Setscontour.gridData gridData persp.gridData utils-gridding2
Bivariate Integration Toolsintegrate2d
Multivariate Normal Distributiondmvnorm pmvnorm qmvnorm rmvnorm
Obsolete Functionsdmvsnorm dmvst mvFit mvstnorm pmvsnorm pmvst rmvsnorm rmvst
Multivariate Student-t Distributiondmvt pmvt rmvt