Package: Dowd
Type: Package
Title: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's
Book Measuring Market Risk
Version: 0.12
Date: 2015-08-20
Author: Dinesh Acharya <dines.acharya@gmail.com>
Maintainer: Dinesh Acharya <dines.acharya@gmail.com>
Description: 'Kevin Dowd's' book Measuring Market Risk is a widely read book
in the area of risk measurement by students and
practitioners alike. As he claims, 'MATLAB' indeed might have been the most
suitable language when he originally wrote the functions, but,
with growing popularity of R it is not entirely
valid. As 'Dowd's' code was not intended to be error free and were mainly
for reference, some functions in this package have inherited those
errors. An attempt will be made in future releases to identify and correct
them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/.
It should be noted that 'Dowd' offers both
'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more
recent version of 'MMR1' toolbox and they both have mostly similar
function. The toolbox mainly contains different parametric and non
parametric methods for measurement of market risk as well as
backtesting risk measurement methods.
Depends: R (>= 3.0.0), bootstrap, MASS, forecast
Suggests: PerformanceAnalytics, testthat
License: GPL
NeedsCompilation: no
Packaged: 2016-03-10 10:14:28 UTC; dinesh
Repository: CRAN
Date/Publication: 2016-03-11 00:45:03

Author: Harry Joo [aut, cre], Herman Aguinis [aut, dtc], Kyle J. Bradley [aut], Takuya Noguchi [ctb]
Description: Compares distributions with one another in terms of their fit to each sample in a dataset that contains multiple samples, as described in Joo, Aguinis, and Bradley (in press). Users can examine the fit of seven distributions per sample: pure power law, lognormal, exponential, power law with an exponential cutoff, normal, Poisson, and Weibull. Automation features allow the user to compare all distributions for all samples with a single command line, which creates a separate row containing results for each sample until the entire dataset has been analyzed.
Imports: VGAM, gsl, moments, utils, fitdistrplus