News for R Package qrmtools

Changes in version 0.0-19

Bug Fixes

• Archived "quandl" source in get_data() due to abandoned package Quandl.

Changes in version 0.0-15

New Features

• Hill_estimator() Hill estimator.

• Hill_plot() Hill plot.

Changes in version 0.0-14

New Features

• rBrownian() for simulating Brownian and related motions.

Changes in version 0.0-13

New Features

• X.rearranged.opt.row of rearrange() and its wrappers.

Changes in version 0.0-11

New Features

• VaR_np() and ES_np() compute value-at-risk and expected shortfall for the sum if the input is a matrix.

Changes in version 0.0-10

New Features

• dGPDtail(), pGPDtail(), qGPDtail(), rGPDtail() (and renamed VaR_POT() to VaR_GPDtail() and ES_POT() to ES_GPDtail() correspondingly)

Bug Fixes

• plot_matrix(): used to plot transposed matrix.

Changes in version 0.0-9

New Features

• VaR_POT(), ES_POT()

• GPD_shape_plot(), tail_plot()

• mean_excess_np(), mean_excess_GPD() and mean_excess_plot()

• edf_plot()

• Fitting of GEV distribution and GPD.

• More intuitive (re)naming of all arguments of EVT related functions.

Bug Fixes

• (none)