Computes Value at Risk and Expected Shortfall for over 100
Parametric Distributions
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Documentation for package ‘VaRES’ version 1.0.2
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| VaRES-package | Computes value at risk and expected shortfall for over 100 parametric distributions |
-- D --
| daep | Asymmetric exponential power distribution |
| darcsine | Arcsine distribution |
| dast | Generalized asymmetric Student's t distribution |
| dasylaplace | Asymmetric Laplace distribution |
| dasypower | Asymmetric power distribution |
| dbeard | Beard distribution |
| dbetaburr | Beta Burr distribution |
| dbetaburr7 | Beta Burr XII distribution |
| dbetadist | Beta distribution |
| dbetaexp | Beta exponential distribution |
| dbetafrechet | Beta Frechet distribution |
| dbetagompertz | Beta Gompertz distribution |
| dbetagumbel | Beta Gumbel distribution |
| dbetagumbel2 | Beta Gumbel 2 distribution |
| dbetalognorm | Beta lognormal distribution |
| dbetalomax | Beta Lomax distribution |
| dbetanorm | Beta normal distribution |
| dbetapareto | Beta Pareto distribution |
| dbetaweibull | Beta Weibull distribution |
| dBS | Birnbaum-Saunders distribution |
| dburr | Burr distribution |
| dburr7 | Burr XII distribution |
| dCauchy | Cauchy distribution |
| dchen | Chen distribution |
| dclg | Compound Laplace gamma distribution |
| dcompbeta | Complementary beta distribution |
| ddagum | Dagum distribution |
| ddweibull | Double Weibull distribution |
| dexpexp | Exponentiated exponential distribution |
| dexpext | Exponential extension distribution |
| dexpgeo | Exponential geometric distribution |
| dexplog | Exponential logarithmic distribution |
| dexplogis | Exponentiated logistic distribution |
| dexponential | Exponential distribution |
| dexppois | Exponential Poisson distribution |
| dexppower | Exponential power distribution |
| dexpweibull | Exponentiated Weibull distribution |
| dF | F distribution |
| dfrechet | Frechet distribution |
| dGamma | Gamma distribution |
| dgenbeta | Generalized beta distribution |
| dgenbeta2 | Generalized beta II distribution |
| dgeninvbeta | Generalized inverse beta distribution |
| dgenlogis | Generalized logistic distribution |
| dgenlogis3 | Generalized logistic III distribution |
| dgenlogis4 | Generalized logistic IV distribution |
| dgenpareto | Generalized Pareto distribution |
| dgenpowerweibull | Generalized power Weibull distribution |
| dgenunif | Generalized uniform distribution |
| dgev | Generalized extreme value distribution |
| dgompertz | Gompertz distribution |
| dgumbel | Gumbel distribution |
| dgumbel2 | Gumbel II distribution |
| dhalfcauchy | Half Cauchy distribution |
| dhalflogis | Half logistic distribution |
| dhalfnorm | Half normal distribution |
| dhalfT | Half Student's t distribution |
| dHBlaplace | Holla-Bhattacharya Laplace distribution |
| dHlogis | Hosking logistic distribution |
| dinvbeta | Inverse beta distribution |
| dinvexpexp | Inverse exponentiated exponential distribution |
| dinvgamma | Inverse gamma distribution |
| dkum | Kumaraswamy distribution |
| dkumburr7 | Kumaraswamy Burr XII distribution |
| dkumexp | Kumaraswamy exponential distribution |
| dkumgamma | Kumaraswamy gamma distribution |
| dkumgumbel | Kumaraswamy Gumbel distribution |
| dkumhalfnorm | Kumaraswamy half normal distribution |
| dkumloglogis | Kumaraswamy log-logistic distribution |
| dkumnormal | Kumaraswamy normal distribution |
| dkumpareto | Kumaraswamy Pareto distribution |
| dkumweibull | Kumaraswamy Weibull distribution |
| dlaplace | Laplace distribution |
| dlfr | Linear failure rate distribution |
| dLNbeta | Libby-Novick beta distribution |
| dlogbeta | Log beta distribution |
| dlogcauchy | Log Cauchy distribution |
| dloggamma | Log gamma distribution |
| dlogisexp | Logistic exponential distribution |
| dlogisrayleigh | Logistic Rayleigh distribution |
| dlogistic | Logistic distribution |
| dloglaplace | Log Laplace distribution |
| dloglog | Loglog distribution |
| dloglogis | Log-logistic distribution |
| dlognorm | Lognormal distribution |
| dlomax | Lomax distribution |
| dMlaplace | McGill Laplace distribution |
| dmoexp | Marshall-Olkin exponential distribution |
| dmoweibull | Marshall-Olkin Weibull distribution |
| dMRbeta | McDonald-Richards beta distribution |
| dnakagami | Nakagami distribution |
| dnormal | Normal distribution |
| dpareto | Pareto distribution |
| dparetostable | Pareto positive stable distribution |
| dPCTAlaplace | Poiraud-Casanova-Thomas-Agnan Laplace distribution |
| dperks | Perks distribution |
| dpower1 | Power function I distribution |
| dpower2 | Power function II distribution |
| dquad | Quadratic distribution |
| drgamma | Reflected gamma distribution |
| dschabe | Schabe distribution |
| dsecant | Hyperbolic secant distribution |
| dstacygamma | Stacy distribution |
| dT | Student's t distribution |
| dTL2 | Topp-Leone distribution |
| dtriangular | Triangular distribution |
| dtsp | Two sided power distribution |
| duniform | Uniform distribution |
| dWeibull | Weibull distribution |
| dxie | Xie distribution |
-- E --
| esaep | Asymmetric exponential power distribution |
| esarcsine | Arcsine distribution |
| esast | Generalized asymmetric Student's t distribution |
| esasylaplace | Asymmetric Laplace distribution |
| esasypower | Asymmetric power distribution |
| esbeard | Beard distribution |
| esbetaburr | Beta Burr distribution |
| esbetaburr7 | Beta Burr XII distribution |
| esbetadist | Beta distribution |
| esbetaexp | Beta exponential distribution |
| esbetafrechet | Beta Frechet distribution |
| esbetagompertz | Beta Gompertz distribution |
| esbetagumbel | Beta Gumbel distribution |
| esbetagumbel2 | Beta Gumbel 2 distribution |
| esbetalognorm | Beta lognormal distribution |
| esbetalomax | Beta Lomax distribution |
| esbetanorm | Beta normal distribution |
| esbetapareto | Beta Pareto distribution |
| esbetaweibull | Beta Weibull distribution |
| esBS | Birnbaum-Saunders distribution |
| esburr | Burr distribution |
| esburr7 | Burr XII distribution |
| esCauchy | Cauchy distribution |
| eschen | Chen distribution |
| esclg | Compound Laplace gamma distribution |
| escompbeta | Complementary beta distribution |
| esdagum | Dagum distribution |
| esdweibull | Double Weibull distribution |
| esexpexp | Exponentiated exponential distribution |
| esexpext | Exponential extension distribution |
| esexpgeo | Exponential geometric distribution |
| esexplog | Exponential logarithmic distribution |
| esexplogis | Exponentiated logistic distribution |
| esexponential | Exponential distribution |
| esexppois | Exponential Poisson distribution |
| esexppower | Exponential power distribution |
| esexpweibull | Exponentiated Weibull distribution |
| esF | F distribution |
| esFR | Freimer distribution |
| esfrechet | Frechet distribution |
| esGamma | Gamma distribution |
| esgenbeta | Generalized beta distribution |
| esgenbeta2 | Generalized beta II distribution |
| esgeninvbeta | Generalized inverse beta distribution |
| esgenlogis | Generalized logistic distribution |
| esgenlogis3 | Generalized logistic III distribution |
| esgenlogis4 | Generalized logistic IV distribution |
| esgenpareto | Generalized Pareto distribution |
| esgenpowerweibull | Generalized power Weibull distribution |
| esgenunif | Generalized uniform distribution |
| esgev | Generalized extreme value distribution |
| esgompertz | Gompertz distribution |
| esgumbel | Gumbel distribution |
| esgumbel2 | Gumbel II distribution |
| eshalfcauchy | Half Cauchy distribution |
| eshalflogis | Half logistic distribution |
| eshalfnorm | Half normal distribution |
| eshalfT | Half Student's t distribution |
| esHBlaplace | Holla-Bhattacharya Laplace distribution |
| esHL | Hankin-Lee distribution |
| esHlogis | Hosking logistic distribution |
| esinvbeta | Inverse beta distribution |
| esinvexpexp | Inverse exponentiated exponential distribution |
| esinvgamma | Inverse gamma distribution |
| eskum | Kumaraswamy distribution |
| eskumburr7 | Kumaraswamy Burr XII distribution |
| eskumexp | Kumaraswamy exponential distribution |
| eskumgamma | Kumaraswamy gamma distribution |
| eskumgumbel | Kumaraswamy Gumbel distribution |
| eskumhalfnorm | Kumaraswamy half normal distribution |
| eskumloglogis | Kumaraswamy log-logistic distribution |
| eskumnormal | Kumaraswamy normal distribution |
| eskumpareto | Kumaraswamy Pareto distribution |
| eskumweibull | Kumaraswamy Weibull distribution |
| eslaplace | Laplace distribution |
| eslfr | Linear failure rate distribution |
| esLNbeta | Libby-Novick beta distribution |
| eslogbeta | Log beta distribution |
| eslogcauchy | Log Cauchy distribution |
| esloggamma | Log gamma distribution |
| eslogisexp | Logistic exponential distribution |
| eslogisrayleigh | Logistic Rayleigh distribution |
| eslogistic | Logistic distribution |
| esloglaplace | Log Laplace distribution |
| esloglog | Loglog distribution |
| esloglogis | Log-logistic distribution |
| eslognorm | Lognormal distribution |
| eslomax | Lomax distribution |
| esMlaplace | McGill Laplace distribution |
| esmoexp | Marshall-Olkin exponential distribution |
| esmoweibull | Marshall-Olkin Weibull distribution |
| esMRbeta | McDonald-Richards beta distribution |
| esnakagami | Nakagami distribution |
| esnormal | Normal distribution |
| espareto | Pareto distribution |
| esparetostable | Pareto positive stable distribution |
| esPCTAlaplace | Poiraud-Casanova-Thomas-Agnan Laplace distribution |
| esperks | Perks distribution |
| espower1 | Power function I distribution |
| espower2 | Power function II distribution |
| esquad | Quadratic distribution |
| esrgamma | Reflected gamma distribution |
| esRS | Ramberg-Schmeiser distribution |
| esschabe | Schabe distribution |
| essecant | Hyperbolic secant distribution |
| esstacygamma | Stacy distribution |
| esT | Student's t distribution |
| esTL | Tukey-Lambda distribution |
| esTL2 | Topp-Leone distribution |
| estriangular | Triangular distribution |
| estsp | Two sided power distribution |
| esuniform | Uniform distribution |
| esWeibull | Weibull distribution |
| esxie | Xie distribution |
-- P --
| paep | Asymmetric exponential power distribution |
| parcsine | Arcsine distribution |
| past | Generalized asymmetric Student's t distribution |
| pasylaplace | Asymmetric Laplace distribution |
| pasypower | Asymmetric power distribution |
| pbeard | Beard distribution |
| pbetaburr | Beta Burr distribution |
| pbetaburr7 | Beta Burr XII distribution |
| pbetadist | Beta distribution |
| pbetaexp | Beta exponential distribution |
| pbetafrechet | Beta Frechet distribution |
| pbetagompertz | Beta Gompertz distribution |
| pbetagumbel | Beta Gumbel distribution |
| pbetagumbel2 | Beta Gumbel 2 distribution |
| pbetalognorm | Beta lognormal distribution |
| pbetalomax | Beta Lomax distribution |
| pbetanorm | Beta normal distribution |
| pbetapareto | Beta Pareto distribution |
| pbetaweibull | Beta Weibull distribution |
| pBS | Birnbaum-Saunders distribution |
| pburr | Burr distribution |
| pburr7 | Burr XII distribution |
| pCauchy | Cauchy distribution |
| pchen | Chen distribution |
| pclg | Compound Laplace gamma distribution |
| pcompbeta | Complementary beta distribution |
| pdagum | Dagum distribution |
| pdweibull | Double Weibull distribution |
| pexpexp | Exponentiated exponential distribution |
| pexpext | Exponential extension distribution |
| pexpgeo | Exponential geometric distribution |
| pexplog | Exponential logarithmic distribution |
| pexplogis | Exponentiated logistic distribution |
| pexponential | Exponential distribution |
| pexppois | Exponential Poisson distribution |
| pexppower | Exponential power distribution |
| pexpweibull | Exponentiated Weibull distribution |
| pF | F distribution |
| pfrechet | Frechet distribution |
| pGamma | Gamma distribution |
| pgenbeta | Generalized beta distribution |
| pgenbeta2 | Generalized beta II distribution |
| pgeninvbeta | Generalized inverse beta distribution |
| pgenlogis | Generalized logistic distribution |
| pgenlogis3 | Generalized logistic III distribution |
| pgenlogis4 | Generalized logistic IV distribution |
| pgenpareto | Generalized Pareto distribution |
| pgenpowerweibull | Generalized power Weibull distribution |
| pgenunif | Generalized uniform distribution |
| pgev | Generalized extreme value distribution |
| pgompertz | Gompertz distribution |
| pgumbel | Gumbel distribution |
| pgumbel2 | Gumbel II distribution |
| phalfcauchy | Half Cauchy distribution |
| phalflogis | Half logistic distribution |
| phalfnorm | Half normal distribution |
| phalfT | Half Student's t distribution |
| pHBlaplace | Holla-Bhattacharya Laplace distribution |
| pHlogis | Hosking logistic distribution |
| pinvbeta | Inverse beta distribution |
| pinvexpexp | Inverse exponentiated exponential distribution |
| pinvgamma | Inverse gamma distribution |
| pkum | Kumaraswamy distribution |
| pkumburr7 | Kumaraswamy Burr XII distribution |
| pkumexp | Kumaraswamy exponential distribution |
| pkumgamma | Kumaraswamy gamma distribution |
| pkumgumbel | Kumaraswamy Gumbel distribution |
| pkumhalfnorm | Kumaraswamy half normal distribution |
| pkumloglogis | Kumaraswamy log-logistic distribution |
| pkumnormal | Kumaraswamy normal distribution |
| pkumpareto | Kumaraswamy Pareto distribution |
| pkumweibull | Kumaraswamy Weibull distribution |
| plaplace | Laplace distribution |
| plfr | Linear failure rate distribution |
| pLNbeta | Libby-Novick beta distribution |
| plogbeta | Log beta distribution |
| plogcauchy | Log Cauchy distribution |
| ploggamma | Log gamma distribution |
| plogisexp | Logistic exponential distribution |
| plogisrayleigh | Logistic Rayleigh distribution |
| plogistic | Logistic distribution |
| ploglaplace | Log Laplace distribution |
| ploglog | Loglog distribution |
| ploglogis | Log-logistic distribution |
| plognorm | Lognormal distribution |
| plomax | Lomax distribution |
| pMlaplace | McGill Laplace distribution |
| pmoexp | Marshall-Olkin exponential distribution |
| pmoweibull | Marshall-Olkin Weibull distribution |
| pMRbeta | McDonald-Richards beta distribution |
| pnakagami | Nakagami distribution |
| pnormal | Normal distribution |
| ppareto | Pareto distribution |
| pparetostable | Pareto positive stable distribution |
| pPCTAlaplace | Poiraud-Casanova-Thomas-Agnan Laplace distribution |
| pperks | Perks distribution |
| ppower1 | Power function I distribution |
| ppower2 | Power function II distribution |
| pquad | Quadratic distribution |
| prgamma | Reflected gamma distribution |
| pschabe | Schabe distribution |
| psecant | Hyperbolic secant distribution |
| pstacygamma | Stacy distribution |
| pT | Student's t distribution |
| pTL2 | Topp-Leone distribution |
| ptriangular | Triangular distribution |
| ptsp | Two sided power distribution |
| puniform | Uniform distribution |
| pWeibull | Weibull distribution |
| pxie | Xie distribution |
-- V --
| varaep | Asymmetric exponential power distribution |
| vararcsine | Arcsine distribution |
| varast | Generalized asymmetric Student's t distribution |
| varasylaplace | Asymmetric Laplace distribution |
| varasypower | Asymmetric power distribution |
| varbeard | Beard distribution |
| varbetaburr | Beta Burr distribution |
| varbetaburr7 | Beta Burr XII distribution |
| varbetadist | Beta distribution |
| varbetaexp | Beta exponential distribution |
| varbetafrechet | Beta Frechet distribution |
| varbetagompertz | Beta Gompertz distribution |
| varbetagumbel | Beta Gumbel distribution |
| varbetagumbel2 | Beta Gumbel 2 distribution |
| varbetalognorm | Beta lognormal distribution |
| varbetalomax | Beta Lomax distribution |
| varbetanorm | Beta normal distribution |
| varbetapareto | Beta Pareto distribution |
| varbetaweibull | Beta Weibull distribution |
| varBS | Birnbaum-Saunders distribution |
| varburr | Burr distribution |
| varburr7 | Burr XII distribution |
| varCauchy | Cauchy distribution |
| varchen | Chen distribution |
| varclg | Compound Laplace gamma distribution |
| varcompbeta | Complementary beta distribution |
| vardagum | Dagum distribution |
| vardweibull | Double Weibull distribution |
| VaRES | Computes value at risk and expected shortfall for over 100 parametric distributions |
| varexpexp | Exponentiated exponential distribution |
| varexpext | Exponential extension distribution |
| varexpgeo | Exponential geometric distribution |
| varexplog | Exponential logarithmic distribution |
| varexplogis | Exponentiated logistic distribution |
| varexponential | Exponential distribution |
| varexppois | Exponential Poisson distribution |
| varexppower | Exponential power distribution |
| varexpweibull | Exponentiated Weibull distribution |
| varF | F distribution |
| varFR | Freimer distribution |
| varfrechet | Frechet distribution |
| varGamma | Gamma distribution |
| vargenbeta | Generalized beta distribution |
| vargenbeta2 | Generalized beta II distribution |
| vargeninvbeta | Generalized inverse beta distribution |
| vargenlogis | Generalized logistic distribution |
| vargenlogis3 | Generalized logistic III distribution |
| vargenlogis4 | Generalized logistic IV distribution |
| vargenpareto | Generalized Pareto distribution |
| vargenpowerweibull | Generalized power Weibull distribution |
| vargenunif | Generalized uniform distribution |
| vargev | Generalized extreme value distribution |
| vargompertz | Gompertz distribution |
| vargumbel | Gumbel distribution |
| vargumbel2 | Gumbel II distribution |
| varhalfcauchy | Half Cauchy distribution |
| varhalflogis | Half logistic distribution |
| varhalfnorm | Half normal distribution |
| varhalfT | Half Student's t distribution |
| varHBlaplace | Holla-Bhattacharya Laplace distribution |
| varHL | Hankin-Lee distribution |
| varHlogis | Hosking logistic distribution |
| varinvbeta | Inverse beta distribution |
| varinvexpexp | Inverse exponentiated exponential distribution |
| varinvgamma | Inverse gamma distribution |
| varkum | Kumaraswamy distribution |
| varkumburr7 | Kumaraswamy Burr XII distribution |
| varkumexp | Kumaraswamy exponential distribution |
| varkumgamma | Kumaraswamy gamma distribution |
| varkumgumbel | Kumaraswamy Gumbel distribution |
| varkumhalfnorm | Kumaraswamy half normal distribution |
| varkumloglogis | Kumaraswamy log-logistic distribution |
| varkumnormal | Kumaraswamy normal distribution |
| varkumpareto | Kumaraswamy Pareto distribution |
| varkumweibull | Kumaraswamy Weibull distribution |
| varlaplace | Laplace distribution |
| varlfr | Linear failure rate distribution |
| varLNbeta | Libby-Novick beta distribution |
| varlogbeta | Log beta distribution |
| varlogcauchy | Log Cauchy distribution |
| varloggamma | Log gamma distribution |
| varlogisexp | Logistic exponential distribution |
| varlogisrayleigh | Logistic Rayleigh distribution |
| varlogistic | Logistic distribution |
| varloglaplace | Log Laplace distribution |
| varloglog | Loglog distribution |
| varloglogis | Log-logistic distribution |
| varlognorm | Lognormal distribution |
| varlomax | Lomax distribution |
| varMlaplace | McGill Laplace distribution |
| varmoexp | Marshall-Olkin exponential distribution |
| varmoweibull | Marshall-Olkin Weibull distribution |
| varMRbeta | McDonald-Richards beta distribution |
| varnakagami | Nakagami distribution |
| varnormal | Normal distribution |
| varpareto | Pareto distribution |
| varparetostable | Pareto positive stable distribution |
| varPCTAlaplace | Poiraud-Casanova-Thomas-Agnan Laplace distribution |
| varperks | Perks distribution |
| varpower1 | Power function I distribution |
| varpower2 | Power function II distribution |
| varquad | Quadratic distribution |
| varrgamma | Reflected gamma distribution |
| varRS | Ramberg-Schmeiser distribution |
| varschabe | Schabe distribution |
| varsecant | Hyperbolic secant distribution |
| varstacygamma | Stacy distribution |
| varT | Student's t distribution |
| varTL | Tukey-Lambda distribution |
| varTL2 | Topp-Leone distribution |
| vartriangular | Triangular distribution |
| vartsp | Two sided power distribution |
| varuniform | Uniform distribution |
| varWeibull | Weibull distribution |
| varxie | Xie distribution |