[ Source: r-cran-cvar ]
Пакунок: r-cran-cvar (0.5-2)
Links for r-cran-cvar
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Download Source Package r-cran-cvar:
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External Resources:
- Homepage [cran.r-project.org]
Similar packages:
GNU R package to Computed Expected Shortfall and Value at Risk
Compute expected shortfall (ES) and Value at Risk (VaR) from a quantile function, distribution function, random number generator or probability density function. ES is also known as Conditional Value at Risk (CVaR). Virtually any continuous distribution can be specified. The functions are vectorized over the arguments. The computations are done directly from the definitions, see e.g. Acerbi and Tasche (2002) <doi:10.1111/1468-0300.00091>. Some support for GARCH models is provided, as well.
Інші пакунки пов'язані з r-cran-cvar
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- dep: r-api-4.0
- virtual package provided by r-base-core
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- dep: r-base-core (>= 4.2.2.20221110-1)
- GNU R core of statistical computation and graphics system
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- dep: r-cran-gbutils
- GNU R package for Utilities for Simulation, Plots, And More
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- dep: r-cran-rdpack (>= 0.8)
- GNU R update and manipulate Rd documentation objects
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- sug: r-cran-fgarch
- GNU R package for financial engineering -- fGarch
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- sug: r-cran-performanceanalytics
- Пакунок недоступний
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- sug: r-cran-testthat
- GNU R testsuite
Завантажити r-cran-cvar
| Архітектура | Розмір пакунка | Розмір після встановлення | Файли |
|---|---|---|---|
| all | 251.6 kB | 309.0 kB | [список файлів] |