R-universe - asaeb1480 (asaeb1480)

TSEtools - Manage Data from the Finance Markets

A set of tools designed to perform descriptive data analysis on assets, manage asset portfolios and capital allocation, and download, organize, and maintain data from the "Tehran Stock Exchange" and "NOBITEX" platforms.

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1.70 score 1 stars 2 scripts 501 downloads

gnFit - Goodness of Fit Test for Continuous Distribution Functions

Computes the test statistic and p-value of the Cramer-von Mises and Anderson-Darling test for some continuous distribution functions proposed by Chen and Balakrishnan (1995) <http://asq.org/qic/display-item/index.html?item=11407>. In addition to our classic distribution functions here, we calculate the Goodness of Fit (GoF) test to dataset which follows the extreme value distribution function, without remembering the formula of distribution/density functions. Calculates the Value at Risk (VaR) and Average VaR are another important risk factors which are estimated by using well-known distribution functions. Pflug and Romisch (2007, ISBN: 9812707409) is a good reference to study the properties of risk measures.

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1.70 score 5 scripts 136 downloads