R Development Page
Contributed R Packages
Below is a list of all packages provided by project Rmetrics - Computational Finance.
Important note for package
binaries: R-Forge provides these binaries only for
the most recent version of R, but not for older
versions. In order to successfully install the
packages provided on R-Forge, you have to switch
to the most recent version of R or, alternatively,
install from the package sources (.tar.gz).
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BLCOP | Black-Litterman and copula-opinion pooling frameworks
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An implementation of the Black-Litterman Model and Atilio Meuccis
copula opinion pooling framework. This should be regarded as a beta release. |
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Version: 0.2.6 |
Last change: 2014-11-11 14:34:08+01 |
Rev.: 5982 |
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Download:
 (.tar.gz) |
 (.zip) |
Build status: Current | Stable Release: Get BLCOP 0.3.3 from CRAN |
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R install command:
install.packages("BLCOP", repos="http://R-Forge.R-project.org") |
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DistributionUtils | Distribution Utilities
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Utilities are provided which are of use in the
packages I have developed for dealing with
distributions. Currently these packages are GeneralizedHyperbolic,
VarianceGamma, and SkewHyperbolic and NormalLaplace. Each of these
packages requires DistributionUtils. Functionality includes sample
skewness and kurtosis, log-histogram, tail plots, moments by
integration, changing the point about which a moment is
calculated, functions for testing distributions using inversion
tests and the Massart inequality. Also includes an implementation
of the incomplete Bessel K function. |
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Version: 0.6-1 |
Last change: 2023-08-23 00:55:58+02 |
Rev.: 6422 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get DistributionUtils 0.6-1 from CRAN |
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R install command:
install.packages("DistributionUtils", repos="http://R-Forge.R-project.org") |
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FKF | Fast Kalman Filter
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This is a fast and flexible implementation of the Kalman filter, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals. |
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Version: 0.1.2 |
Last change: 2014-11-11 14:33:42+01 |
Rev.: 5980 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get FKF 0.2.6 from CRAN |
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R install command:
install.packages("FKF", repos="http://R-Forge.R-project.org") |
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GeneralizedHyperbolic | The Generalized Hyperbolic Distribution
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Functions for the hyperbolic and related distributions.
Density, distribution and quantile functions and random number generation
are provided for the hyperbolic distribution, the generalized hyperbolic
distribution, the generalized inverse Gaussian distribution and
the skew-Laplace distribution. Additional functionality is
provided for the hyperbolic distribution, normal inverse
Gaussian distribution and generalized inverse Gaussian distribution,
including fitting of these distributions to data. Linear models with
hyperbolic errors may be fitted using hyperblmFit. |
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Version: 0.8-6 |
Last change: 2023-11-26 12:09:56+01 |
Rev.: 6446 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get GeneralizedHyperbolic 0.8-6 from CRAN |
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R install command:
install.packages("GeneralizedHyperbolic", repos="http://R-Forge.R-project.org") |
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HyperbolicDist | The Hyperbolic Distribution
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Maintenance has been discontinued for this package. It has been
superseded by GeneralizedHyperbolic. GeneralizedHyperbolic
includes all the functionality of HyperbolicDist and more
and is based on a more rational design. HyperbolicDist
provides functions for the hyperbolic and related
distributions. Density, distribution and quantile functions
and random number generation are provided for the hyperbolic
distribution, the generalized hyperbolic distribution,
the generalized inverse Gaussian distribution and the
skew-Laplace distribution. Additional functionality is
provided for the hyperbolic distribution, including
fitting of the hyperbolic to data. |
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Version: 0.6-5 |
Last change: 2023-11-26 12:11:33+01 |
Rev.: 6447 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get HyperbolicDist 0.6-5 from CRAN |
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R install command:
install.packages("HyperbolicDist", repos="http://R-Forge.R-project.org") |
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NormalLaplace | The Normal Laplace Distribution
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Description: Functions for the normal Laplace distribution. Currently, it
provides limited functionality. Density, distribution and quantile
functions, random number generation, and moments are provided. |
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Version: 0.3-2 |
Last change: 2024-06-25 14:08:33+02 |
Rev.: 6488 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get NormalLaplace 0.3-1 from CRAN |
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R install command:
install.packages("NormalLaplace", repos="http://R-Forge.R-project.org") |
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Rdonlp2 | Rmetrics - An R extension library to use Peter Spellucis DONLP2 from R
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DONLP2 is a general purpose nonlinear constrained programming
problem solver written by Peter Spelluci. The version here
uses the C-Code implementation of S. Shoeffert and the Rdonlp2
limplementatation of Ryuichi Tamura. |
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Version: 3042.11 |
Last change: 2017-11-13 21:33:25+01 |
Rev.: 6080 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("Rdonlp2", repos="http://R-Forge.R-project.org") |
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Rnlminb2 | Rmetrics - An R extension library for constrained optimization with nlminb
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NLMINB2 is an interior point nonlinear constrained programming
problem interface written by Dietgelm Wuertz. The version here
calls the R function nlminb from Rs base environment. |
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Version: 3042.11 |
Last change: 2017-11-13 20:21:47+01 |
Rev.: 6078 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("Rnlminb2", repos="http://R-Forge.R-project.org") |
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Rsocp | Rmetrics - An R Extenstion Library to Use SOCP from R
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Second-order cone programming solver written by M. Lobo, L.
Vandenberghe, and S. Boyd. Rsocp is a wrapper library to use it from R.
THIS PACKAGE IS USED FOR PORTFOLIO OPTIMIZATION WITH RMETRICS.
NOTE, FOR OTHER PURPOSES YOU HAVE TO EXTEND THIS R PORT. |
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Version: 4021.3 |
Last change: 2022-07-25 14:07:08+02 |
Rev.: 6256 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("Rsocp", repos="http://R-Forge.R-project.org") |
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SkewHyperbolic | The Skew Hyperbolic Student t-Distribution
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Functions are provided for the density function,
distribution function, quantiles and random number
generation for the skew hyperbolic
t-distribution. There are also functions that fit
the distribution to data. There are functions for the
mean, variance, skewness, kurtosis and mode of a given
distribution and to calculate moments of any order about
any centre. To assess goodness of fit, there are
functions to generate a Q-Q plot, a P-P plot and a tail plot. |
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Version: 0.4-2 |
Last change: 2023-11-26 12:14:22+01 |
Rev.: 6449 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get SkewHyperbolic 0.4-2 from CRAN |
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R install command:
install.packages("SkewHyperbolic", repos="http://R-Forge.R-project.org") |
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VarianceGamma | The Variance Gamma Distribution
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Provides functions for the variance gamma
distribution. Density, distribution and quantile functions.
Functions for random number generation and fitting of the
variance gamma to data. Also, functions for computing moments
of the variance gamma distribution of any order about any
location. In addition, there are functions for checking the
validity of parameters and to interchange different sets of
parameterizations for the variance gamma distribution. |
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Version: 0.4-2 |
Last change: 2023-11-26 12:15:13+01 |
Rev.: 6450 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get VarianceGamma 0.4-2 from CRAN |
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R install command:
install.packages("VarianceGamma", repos="http://R-Forge.R-project.org") |
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XMLRPC | Remote Procedure Call (RPC) via XML in R
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A simple implementation of XML-RPC for R. |
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Version: 0.2-4 |
Last change: 2014-11-11 14:34:20+01 |
Rev.: 5983 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("XMLRPC", repos="http://R-Forge.R-project.org") |
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fACD | Autoregressive Conditional Duration Models in R
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Package for estimation and simulation of ACD models |
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Version: 1.0 |
Last change: 2014-11-11 14:32:28+01 |
Rev.: 5974 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("fACD", repos="http://R-Forge.R-project.org") |
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fArma | Rmetrics - Modelling ARMA Time Series Processes
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Modelling ARMA Time Series Processes. |
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Version: 4021.82 |
Last change: 2022-07-25 15:33:40+02 |
Rev.: 6257 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("fArma", repos="http://R-Forge.R-project.org") |
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fAsianOptions | Rmetrics - EBM and Asian Option Valuation
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Provides functions for pricing
and valuating Asian Options together with tools for analyzing
and modeling Exponential Brownian Motion (EBM). |
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Version: 4021.83 |
Last change: 2022-07-26 19:08:04+02 |
Rev.: 6258 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("fAsianOptions", repos="http://R-Forge.R-project.org") |
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fAssets | Rmetrics - Analysing and Modelling Financial Assets
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A collection of functions to manage, to investigate and to analyze data sets of financial
assets from different points of view. |
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Version: 4023.85.9000 |
Last change: 2024-01-14 11:03:23+01 |
Rev.: 6474 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fAssets 4023.85 from CRAN |
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R install command:
install.packages("fAssets", repos="http://R-Forge.R-project.org") |
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fBasics | Rmetrics - Markets and Basic Statistics
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Provides a collection of functions to
explore and to investigate basic properties of financial returns
and related quantities.
The covered fields include techniques of explorative data analysis
and the investigation of distributional properties, including
parameter estimation and hypothesis testing. Even more there are
several utility functions for data handling and management. |
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Version: 4041.97 |
Last change: 2024-08-19 23:12:40+02 |
Rev.: 6495 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fBasics 4041.97 from CRAN |
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R install command:
install.packages("fBasics", repos="http://R-Forge.R-project.org") |
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fBonds | Rmetrics - Pricing and Evaluating Bonds
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It implements the Nelson-Siegel and the Nelson-Siegel-Svensson
term structures. |
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Version: 4021.79 |
Last change: 2022-07-27 21:06:43+02 |
Rev.: 6263 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fBonds 3042.78 from CRAN |
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R install command:
install.packages("fBonds", repos="http://R-Forge.R-project.org") |
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fCertificates | fCertificates - Basics of Certificates and Structured Products
Valuation
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Collection of pricing by duplication methods for popular structured products ("Zertifikate") |
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Version: 0.5-3 |
Last change: 2014-11-11 14:32:52+01 |
Rev.: 5976 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fCertificates 0.5-4 from CRAN |
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R install command:
install.packages("fCertificates", repos="http://R-Forge.R-project.org") |
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fCopulae | Rmetrics - Bivariate Dependence Structures with Copulae
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Provides a collection of functions to
manage, to investigate and to analyze bivariate financial returns by
Copulae. Included are the families of Archemedean, Elliptical,
Extreme Value, and Empirical Copulae. |
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Version: 4022.85 |
Last change: 2023-01-03 11:58:29+01 |
Rev.: 6360 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fCopulae 4022.85 from CRAN |
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R install command:
install.packages("fCopulae", repos="http://R-Forge.R-project.org") |
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fEcofin | Rmetrics - Economic and Financial Data Sets
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Economic and Financial Data Sets. |
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Version: 4021.79 |
Last change: 2022-07-25 13:45:08+02 |
Rev.: 6254 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("fEcofin", repos="http://R-Forge.R-project.org") |
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fExoticOptions | Rmetrics - Pricing and Evaluating Exotic Option
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Provides a collection of functions to evaluate
barrier options, Asian options, binary options, currency
translated options, lookback options, multiple asset options
and multiple exercise options. |
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Version: 4021.81 |
Last change: 2022-07-26 19:08:04+02 |
Rev.: 6258 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("fExoticOptions", repos="http://R-Forge.R-project.org") |
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fExpressCertificates | fExpressCertificates - Structured Products Valuation for
ExpressCertificates/Autocallables
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Collection of pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables) |
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Version: 1.2 |
Last change: 2014-11-11 14:33:04+01 |
Rev.: 5977 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fExpressCertificates 1.3 from CRAN |
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R install command:
install.packages("fExpressCertificates", repos="http://R-Forge.R-project.org") |
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fExtremes | Rmetrics - Modelling Extreme Events in Finance
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Provides functions for analysing
and modelling extreme events in financial time Series. The
topics include: (i) data pre-processing, (ii) explorative
data analysis, (iii) peak over threshold modelling, (iv) block
maxima modelling, (v) estimation of VaR and CVaR, and (vi) the
computation of the extreme index. |
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Version: 4032.84 |
Last change: 2023-12-21 20:31:37+01 |
Rev.: 6463 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fExtremes 4032.84 from CRAN |
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R install command:
install.packages("fExtremes", repos="http://R-Forge.R-project.org") |
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fGarch | Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
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Analyze and model heteroskedastic behavior in financial time series. |
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Version: 4040.92.9000 |
Last change: 2024-08-18 11:03:41+02 |
Rev.: 6494 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fGarch 4033.92 from CRAN |
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R install command:
install.packages("fGarch", repos="http://R-Forge.R-project.org") |
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fImport | Rmetrics - Importing Economic and Financial Data
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Provides a collection of utility functions
to download and manage data sets from the Internet or from other
sources. |
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Version: 4041.88 |
Last change: 2024-09-20 10:08:47+02 |
Rev.: 6500 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fImport 4041.88 from CRAN |
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R install command:
install.packages("fImport", repos="http://R-Forge.R-project.org") |
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fMarkovSwitching | R Package for Estimation, Simulation and Forecasting of a Univariate Markov Switching Model
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This package provides functions for estimation, simulation and forecasting of a general markov switching regression. The code is flexible enought to handle any number of independents variables, any number of states and any setup for the model iself (see example files) |
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Version: 1.0 |
Last change: 2014-11-11 14:32:40+01 |
Rev.: 5975 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("fMarkovSwitching", repos="http://R-Forge.R-project.org") |
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fMultivar | Rmetrics - Modeling of Multivariate Financial Return Distributions
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A collection of functions inspired by Venables and Ripley (2002)
and Azzalini and Capitanio (1999) to manage, investigate and analyze
bivariate and multivariate data sets of financial returns. |
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Version: 4031.84 |
Last change: 2023-07-07 19:26:09+02 |
Rev.: 6419 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fMultivar 4031.84 from CRAN |
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R install command:
install.packages("fMultivar", repos="http://R-Forge.R-project.org") |
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fNonlinear | Rmetrics - Nonlinear and Chaotic Time Series Modelling
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Provides a collection of functions for testing various aspects of
univariate time series including independence and neglected
nonlinearities. Further provides functions to investigate the chaotic
behavior of time series processes and to simulate different types of chaotic
time series maps. |
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Version: 4041.82 |
Last change: 2024-09-04 01:08:38+02 |
Rev.: 6496 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fNonlinear 4041.82 from CRAN |
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R install command:
install.packages("fNonlinear", repos="http://R-Forge.R-project.org") |
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fOptions | Rmetrics - Pricing and Evaluating Basic Options
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Provides a collection of functions to
valuate basic options. This includes the generalized
Black-Scholes option, options on futures and options on
commodity futures. |
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Version: 4021.87 |
Last change: 2022-07-25 11:12:28+02 |
Rev.: 6251 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("fOptions", repos="http://R-Forge.R-project.org") |
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fPortfolio | Rmetrics - Portfolio Selection and Optimization
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A collection of functions to optimize portfolios and to analyze them from different points of view. |
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Version: 4023.84.9000 |
Last change: 2024-01-14 10:56:54+01 |
Rev.: 6473 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fPortfolio 4023.84 from CRAN |
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R install command:
install.packages("fPortfolio", repos="http://R-Forge.R-project.org") |
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fRegression | Rmetrics - Regression Based Decision and Prediction
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A collection of functions for linear and non-linear regression
modelling. It implements a wrapper for several regression models available
in the base and contributed packages of R. |
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Version: 4021.83.9000 |
Last change: 2024-01-14 10:14:38+01 |
Rev.: 6472 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fRegression 4021.83 from CRAN |
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R install command:
install.packages("fRegression", repos="http://R-Forge.R-project.org") |
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fTrading | Rmetrics - Trading and Rebalancing Financial Instruments
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A collection of functions for trading and rebalancing financial
instruments. It implements various technical indicators to analyse time series such
as moving averages or stochastic oscillators. |
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Version: 4021.81 |
Last change: 2022-07-27 21:11:24+02 |
Rev.: 6264 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fTrading 3042.79 from CRAN |
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R install command:
install.packages("fTrading", repos="http://R-Forge.R-project.org") |
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fUnitRoots | Rmetrics - Modelling Trends and Unit Roots
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Provides four addons for analyzing trends and
unit roots in financial time series: (i) functions for the density
and probability of the augmented Dickey-Fuller Test, (ii) functions
for the density and probability of MacKinnons unit root test
statistics, (iii) reimplementations for the ADF and MacKinnon
Test, and (iv) an urca Unit Root Test Interface for Pfaffs
unit root test suite. |
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Version: 4040.81 |
Last change: 2024-05-14 19:21:51+02 |
Rev.: 6486 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get fUnitRoots 4040.81 from CRAN |
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R install command:
install.packages("fUnitRoots", repos="http://R-Forge.R-project.org") |
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ghyp | A package on the generalized hyperbolic distribution and its special cases
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This package provides detailed functionality for working
with the univariate and multivariate Generalized Hyperbolic
distribution and its special cases (Hyperbolic (hyp), Normal
Inverse Gaussian (NIG), Variance Gamma (VG), skewed
Student-t and Gaussian distribution). Especially, it
contains fitting procedures, an AIC-based model selection
routine, and functions for the computation of density,
quantile, probability, random variates, expected shortfall
and some portfolio optimization and plotting routines as
well as the likelihood ratio test. In addition, it contains
the Generalized Inverse Gaussian distribution. |
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Version: 1.5.6 |
Last change: 2014-11-11 13:08:56+01 |
Rev.: 5967 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get ghyp 1.6.5 from CRAN |
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R install command:
install.packages("ghyp", repos="http://R-Forge.R-project.org") |
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gldist | An Asymmetry-Steepness Parameterization of the Generalized
Lambda Distribution.
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The generalized lambda distribution (GLD) is a versatile
distribution that can accommodate a wide range of shapes,
including fat-tailed and asymmetric distributions. This package
implements a more intuitive parameterization of the GLD that
expresses the location and scale parameters directly as the
median and inter-quartile range of the distribution. The
remaining two shape parameters characterize the asymmetry and
steepness of the distribution respectively. The fitting of the
GLD to empirical data can be reduced to a two-parameter
estimation problem where the location and scale parameters are
estimated by their robust sample estimators. Moreover, the
parameterization can be used to compare data sets in a
convenient asymmetry and steepness shape plot. The underline C
routines are written such that compilers that support
vectorized mathematical operations can automatically vectorize
the most time consuming loops (tested with icc 12.1.0). The
package includes the usual distribution functions, fitting
routines and a shape plot function. |
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Version: 2160.2 |
Last change: 2014-11-11 14:33:28+01 |
Rev.: 5979 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get gldist 2160.2 from CRAN |
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R install command:
install.packages("gldist", repos="http://R-Forge.R-project.org") |
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randsobolfortran | Sobol Sequence
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Provide the Sobol sequence based on Diethelm Wuertzs Fortran code. |
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Version: 1.0.0 |
Last change: 2022-08-16 08:13:13+02 |
Rev.: 6283 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("randsobolfortran", repos="http://R-Forge.R-project.org") |
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randtoolbox | Toolbox for Pseudo and Quasi Random Number Generation and Random Generator Tests
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Provides (1) pseudo random generators - general linear congruential generators,
multiple recursive generators and generalized feedback shift register (SF-Mersenne Twister
algorithm () and WELL ()
generators); (2) quasi random generators - the Torus algorithm, the
Sobol sequence, the Halton sequence (including the Van der Corput sequence) and (3) some
generator tests - the gap test, the serial test, the poker test, see, e.g.,
Gentle (2003) .
Take a look at the Distribution task view of types and tests of random number generators.
The package can be provided without the rngWELL dependency on demand.
Package in Memoriam of Diethelm and Barbara Wuertz. |
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Version: 2.0.6 |
Last change: 2024-10-24 15:30:15+02 |
Rev.: 6506 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get randtoolbox 2.0.5 from CRAN |
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R install command:
install.packages("randtoolbox", repos="http://R-Forge.R-project.org") |
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rngWELL | Toolbox for WELL Random Number Generators
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It is a dedicated package to WELL pseudo random generators,
which were introduced in Panneton et al. (2006), ``Improved Long-Period
Generators Based on Linear Recurrences Modulo 2, see .
But this package is not intended to be used directly, you are strongly __encouraged__
to use the randtoolbox package, which depends on this package. |
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Version: 0.10-11 |
Last change: 2024-10-18 09:07:17+02 |
Rev.: 6504 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get rngWELL 0.10-10 from CRAN |
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R install command:
install.packages("rngWELL", repos="http://R-Forge.R-project.org") |
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rngWELLOriginal | Well Equidistributed Long-period Linear modulo 2 random number generators
by F. Panneton, P. LEcuyer, and M. Matsumoto.
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This package provides an R interface to the WELL generators
implemented at http://www.iro.umontreal.ca/~panneton/WELLRNG.html
and described in the paper
F. Panneton, P. LEcuyer, and M. Matsumoto, Improved Long-Period Generators
Based on Linear Recurrences Modulo 2. The package belongs to a collection
of packages related to randtoolbox. |
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Version: 0.0-3 |
Last change: 2014-11-11 14:31:52+01 |
Rev.: 5971 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("rngWELLOriginal", repos="http://R-Forge.R-project.org") |
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schwartz97 | A package on the Schwartz two-factor commodity model
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This package provides detailed functionality for working with the Schwartz 1997 two-factor commodity model. Essentially, it contains pricing formulas for futures and European options and the standard d/p/q/r functions for the distribution of the state variables and futures prices. In addition, a parameter estimation procedure is contained together with many utilities as filtering and plotting functionality. This package is accompanied by futures data of ten commodities. |
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Version: 0.0.4 |
Last change: 2014-11-11 14:33:56+01 |
Rev.: 5981 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get schwartz97 0.0.6 from CRAN |
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R install command:
install.packages("schwartz97", repos="http://R-Forge.R-project.org") |
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stabledist | Stable Distribution Functions
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Density, Probability and Quantile functions, and random number
generation for (skew) stable distributions, using the parametrizations of
Nolan. |
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Version: 0.7-2 |
Last change: 2024-08-14 10:50:33+02 |
Rev.: 6491 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get stabledist 0.7-2 from CRAN |
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R install command:
install.packages("stabledist", repos="http://R-Forge.R-project.org") |
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timeDate | Rmetrics - Chronological and Calendar Objects
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The timeDate class fulfils the conventions of the ISO 8601
standard as well as of the ANSI C and POSIX standards. Beyond
these standards it provides the "Financial Center" concept
which allows to handle data records collected in different time
zones and mix them up to have always the proper time stamps with
respect to your personal financial center, or alternatively to the GMT
reference time. It can thus also handle time stamps from historical
data records from the same time zone, even if the financial
centers changed day light saving times at different calendar
dates. |
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Version: 4041.110 |
Last change: 2024-09-16 13:26:42+02 |
Rev.: 6497 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get timeDate 4041.110 from CRAN |
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R install command:
install.packages("timeDate", repos="http://R-Forge.R-project.org") |
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Build status codes
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