Rmetrics - Modeling of Multivariate Financial Return Distributions

A collection of functions inspired by Venables and Ripley (2002) and Azzalini and Capitanio (1999) to manage, investigate and analyze bivariate and multivariate data sets of financial returns.


Reference manual

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install.packages("fMultivar")

4031.84 by Stefan Theussl, 3 years ago


https://www.rmetrics.org


Browse source code at https://github.com/cran/fMultivar


Authors: Diethelm Wuertz [aut] , Tobias Setz [aut] , Stefan Theussl [aut, cre] , Yohan Chalabi [ctb] , Martin Maechler [ctb] , CRAN team [ctb]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports fBasics, cubature, mvtnorm, sn, methods, grDevices, graphics, stats

Suggests RUnit, tcltk


Imported by REFA, fAssets, latentcor, mixedCCA.

Depended on by bifurcatingr, fCopulae.

Suggested by superb.


See at CRAN