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randtoolbox - Toolbox for Pseudo and Quasi Random Number Generation and Random Generator Tests

Provides (1) pseudo random generators - general linear congruential generators, multiple recursive generators and generalized feedback shift register (SF-Mersenne Twister algorithm (<doi:10.1007/978-3-540-74496-2_36>) and WELL (<doi:10.1145/1132973.1132974>) generators); (2) quasi random generators - the Torus algorithm, the Sobol sequence, the Halton sequence (including the Van der Corput sequence) and (3) some generator tests - the gap test, the serial test, the poker test, see, e.g., Gentle (2003) <doi:10.1007/b97336>. Take a look at the Distribution task view of types and tests of random number generators. The package can be provided without the 'rngWELL' dependency on demand. Package in Memoriam of Diethelm and Barbara Wuertz.

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11.46 score 1 stars 87 dependents 697 scripts 13k downloads

POT - Generalized Pareto Distribution and Peaks Over Threshold

Some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases, see Beirlant et al. (2004) <doi:10.1002/0470012382>. A user guide is available in the vignette.

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7.18 score 3 dependents 170 scripts 660 downloads

mbbefd - Maxwell Boltzmann Bose Einstein Fermi Dirac Distribution and Destruction Rate Modelling

Distributions that are typically used for exposure rating in general insurance, in particular to price reinsurance contracts. The vignette shows code snippets to fit the distribution to empirical data. See, e.g., Bernegger (1997) <doi:10.2143/AST.27.1.563208> freely available on-line.

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actuarialdestruction-rate-modelingreinsurancecpp

7.11 score 17 stars 101 scripts 247 downloads

rngWELL - Toolbox for WELL Random Number Generators

It is a dedicated package to WELL pseudo random generators, which were introduced in Panneton et al. (2006), ``Improved Long-Period Generators Based on Linear Recurrences Modulo 2'', see <doi:10.1145/1132973.1132974>. But this package is not intended to be used directly, you are strongly __encouraged__ to use the 'randtoolbox' package, which depends on this package.

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5.43 score 88 dependents 16 scripts 13k downloads

GNE - Computation of Generalized Nash Equilibria

Compute standard and generalized Nash Equilibria of non-cooperative games. Optimization methods available are nonsmooth reformulation, fixed-point formulation, minimization problem and constrained-equation reformulation. See e.g. Kanzow and Facchinei (2010), <doi:10.1007/s10479-009-0653-x>.

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5.18 score 1 stars 19 scripts 140 downloads

gumbel - The Gumbel-Hougaard Copula

Provides probability functions (cumulative distribution and density functions), simulation function (Gumbel copula multivariate simulation) and estimation functions (Maximum Likelihood Estimation, Inference For Margins, Moment Based Estimation and Canonical Maximum Likelihood).

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3.56 score 1 dependents 12 scripts 245 downloads

OneStep - One-Step Estimation

Provide principally an eponymic function that numerically computes the Le Cam's one-step estimator for an independent and identically distributed sample. One-step estimation is asymptotically efficient (see L. Le Cam (1956) <https://projecteuclid.org/euclid.bsmsp/1200501652>) and can be computed faster than the maximum likelihood estimator for large observation samples, see e.g. Brouste et al. (2021) <doi:10.32614/RJ-2021-044>.

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3.38 score 3 stars 16 scripts 154 downloads

tsallisqexp - Tsallis q-Exp Distribution

Tsallis distribution also known as the q-exponential family distribution. Provide distribution d, p, q, r functions, fitting and testing functions. Project initiated by Paul Higbie and based on Cosma Shalizi's code.

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2.88 score 1 stars 15 scripts 133 downloads

RTDE - Robust Tail Dependence Estimation

Robust tail dependence estimation for bivariate models. This package is based on two papers by the authors:'Robust and bias-corrected estimation of the coefficient of tail dependence' and 'Robust and bias-corrected estimation of probabilities of extreme failure sets'. This work was supported by a research grant (VKR023480) from VILLUM FONDEN and an international project for scientific cooperation (PICS-6416).

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2.23 score 34 scripts 171 downloads