Package: tsdistributions 1.0.4

Alexios Galanos

tsdistributions: Location Scale Standardized Distributions

Location-Scale based distributions parameterized in terms of mean, standard deviation, skew and shape parameters and estimation using automatic differentiation. Distributions include the Normal, Student and GED as well as their skewed variants ('Fernandez and Steel'), the 'Johnson SU', and the Generalized Hyperbolic. Also included is the semi-parametric piece wise distribution ('spd') with Pareto tails and kernel interior.

Authors:Alexios Galanos [aut, cre, cph]

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manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
tsdistributions/json (API)

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

Bug tracker:https://github.com/tsmodels/tsdistributions/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

distributionsfinanceprobability-distributionprobability-distributionsstatistical-distributionstimeseriescpp

6.24 score 4 stars 3 packages 24 scripts 716 downloads 56 exports 32 dependencies

Last updated from:deb300ea09. Checks:12 OK, 1 FAIL. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK251
linux-devel-x86_64OK227
source / vignettesOK424
linux-release-arm64OK247
linux-release-x86_64OK226
macos-release-arm64OK164
macos-release-x86_64OK324
macos-oldrel-arm64OK147
macos-oldrel-x86_64OK398
windows-develOK240
windows-releaseOK242
windows-oldrelOK252
wasm-releaseFAIL143

Exports:authorized_domainddistdgeddghdghstdghypdistribution_boundsdistribution_modelspecdjsudkurtosisdnigdsgeddskewnessdsnormdspddsstddstdghyptransformnigtransformpdistpgedpghpghstpghyppjsupnigpsgedpsnormpspdpsstdpstdqdistqgedqghqghstqghypqjsuqnigqsgedqsnormqspdqsstdqstdrdistrgedrghrghstrghyprjsurnigrsgedrsnormrspdrsstdrstdspd_modelspec

Dependencies:alabamacodetoolsdata.tabledigestDistributionUtilsfuturefuture.applyGeneralizedHyperbolicglobalsKernSmoothlatticelistenvMASSMatrixmevnleqslvnumDerivparallellyprogressrrbibutilsRcppRcppArmadilloRcppEigenRdpackRsolnpsandwichSkewHyperbolicTMBtruncnormtsmethodsxtszoo

Estimation Demo
Rendered fromestimation_demo.Rmdusingknitr::rmarkdown

Last update: 2024-08-22
Started: 2024-03-18

Location Scale Distributions
Introduction | Implemented Distributions | Normal Distribution ($\mu$, $\sigma$) | Student's t Distribution ($\mu$, $\sigma$, $\nu$) | Generalized Error Distribution ($\mu$, $\sigma$, $\nu$) | Skewed Distributions by Inverse Scale Factors | Johnson's SU Distribution ($\mu$, $\sigma$, $\xi$, $\nu$) | The Generalized Hyperbolic Distribution ($\mu$, $\sigma$, $\xi$, $\nu$, $\lambda$) | The Generalized Hyperbolic Skew Student Distribution ($\mu$, $\sigma$, $\xi$, $\nu$) | References
Rendered fromlocation_scale_distributions.Rmdusingknitr::rmarkdown

Last update: 2024-08-22
Started: 2024-03-18

Profile Demo
Rendered fromprofile_demo.Rmdusingknitr::rmarkdown

Last update: 2024-08-22
Started: 2024-03-18

Semi-Parametric Distribution Demo
Rendered fromspd_demo.Rmdusingknitr::rmarkdown

Last update: 2024-08-22
Started: 2024-05-10

Readme and manuals

Help Manual

Help pageTopics
Akaike's An Information CriterionAIC AIC.tsdistribution.estimate AIC.tsdistribution.spdestimate
Distribution Authorized Domainauthorized_domain
Bayesian Information CriterionBIC BIC.tsdistribution.estimate BIC.tsdistribution.spdestimate
Bread Methodbread bread.tsdistribution.estimate bread.tsdistribution.spdestimate
Extract Model Coefficientscoef coef.tsdistribution.estimate coef.tsdistribution.spdestimate
Distributions pqdr wrapperddist pdist qdist rdist
Generalized Error Distributiondged pged qged rged
Generalized Hyperbolic Distribution (rho-zeta parameterization)dgh pgh qgh rgh
Generalized Hyperbolic Skewed Student Distributiondghst pghst qghst rghst
Generalized Hyperbolic Distribution (alpha-beta-delta-mu parameterization)dghyp pghyp qghyp rghyp
Distribution Boundsdistribution_bounds
Specification of distribution modeldistribution_modelspec
Johnson's SU Distributiondjsu pjsu qjsu rjsu
Normal Inverse Gaussian Distributiondnig pnig qnig rnig
Skewed Generalized Error Distribution of Fernandez and Steeldsged psged qsged rsged
Distribution skewness and kurtosisdkurtosis dskewness
Skewed Normal Distribution of Fernandez and Steeldsnorm psnorm qsnorm rsnorm
Semi-Parametric Distributiondspd pspd qspd rspd
Skewed Student Distribution of Fernandez and Steeldsstd psstd qsstd rsstd
Student Distributiondstd pstd qstd rstd
Score Methodestfun estfun.tsdistribution.estimate
Estimates the parameters of a semi-parametric distribution.estimate.tsdistribution.spdspec
Estimates the parameters of a distribution using autodiff.estimate estimate.tsdistribution.spec
Extract Log-LikelihoodlogLik logLik.tsdistribution.estimate logLik.tsdistribution.spdestimate
Parameter Transformationghyptransform nigtransform
Model Estimation Summary Print methodprint.summary.spd print.summary.tsdistribution
Profile Summary Print methodprint.summary.tsdistribution.profile
Specification of a semi-parametric distribution modelspd_modelspec
Summary of estimated distributionsummary summary.tsdistribution.estimate
Distribution Profile Summarysummary.tsdistribution.profile
Summary of estimated SPD distributionsummary.tsdistribution.spdestimate
Extract the moments of an estimated distributiontsmoments tsmoments.tsdistribution.estimate
Model Parameter Profilingtsprofile tsprofile.tsdistribution.spec
The Covariance Matrix of the Estimated Parametersvcov vcov.tsdistribution.estimate vcov.tsdistribution.spdestimate