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Introduction

In the context of statistics, the Vasicek distribution is a continuous distribution governing the open interval between 0 and 1 with two parameters, namely Rho and P, which is similar to the Beta and Kumaraswamy distributions.

The Vasicek distribution has often been used to describe the portfolio credit loss in the development of Economic Capital models. The vasicek package is a collection of miscellaneous R functions related to the Vasicek distribution with the intent to make the lives of risk modelers easier.

Core Functions

vasicek
   |-- vsk_mle()   : Estimates Vasiceks parameters by using MLE.
   |-- vsk_imm()   : Estimates Vasiceks parameters by using indirect moment matching.
   |-- vsk_dmm()   : Estimates Vasiceks parameters by using direct moment matching.
   |-- vsk_qbe()   : Estimates Vasiceks parameters by using quantile-based estimator.   
   |-- vsk_pdf()   : Calculates the probability density function of Vasicek.
   |-- vsk_cdf()   : Calculates the cumulative distribution function of Vasicek.
   |-- vsk_ppf()   : Calculates the percentile point function (CDF inverse) of Vasicek.
   |-- vsk_rvs()   : Generates random numbers following the Vasicek distribution.
   `-- gof_ks()    : Performs the Kolmogorov-Smirnov GoF test for the Vasicek distribution

Reference

Tasche, Dirk. (2008). The Vasicek Distribution.