exfit0: Parameter Subsets

In FatTailsR: Kiener Distributions and Fat Tails in Finance

Parameter Subsets

Description

Some vectors of parameter names to be used with parameter exfitk in functions regkienerLX(.., exfitk = ...) and fitkienerX(.., exfitk = ...) or to subset the vector (or matrix) fitk obtained after regression fitk <- regkienerLX(..)$fitk or estimation fitk <- fitkienerX(..). Visit fitkienerX for details on each parameter.

exfit0 <- c("lh", "ret")

exfit1 <- c("m", "g", "a", "k", "w", "d", "e")

exfit2 <- c("m1", "sd", "sk", "ke", "m1x", "sdx", "skx", "kex")

exfit3 <- c("q.01", "q.05", "q.95", "q.99", "ltm.025", "rtm.975")

exfit4 <- c("VaR.01", "VaR.05", "VaR.95", "VaR.99", "ES.025", "ES.975")

exfit5 <- c("c.01", "c.05", "c.95", "c.99", "h.025", "h.975")

exfit6 <- c(exfit1, exfit2, exfit3, exfit4, exfit5)

exfit7 <- c(exfit0, exfit1, exfit2, exfit3, exfit4, exfit5)

Usage

exfit0

exfit1

exfit2

exfit3

exfit4

exfit5

exfit6

exfit7

Format

An object of class character of length 2.

An object of class character of length 7.

An object of class character of length 8.

An object of class character of length 6.

An object of class character of length 6.

An object of class character of length 6.

An object of class character of length 33.

An object of class character of length 35.

Examples

    

require(minpack.lm)
require(timeSeries)

### Load the datasets and select one number j in 1:16
j      <- 5
DS     <- getDSdata()
(fitk  <- regkienerLX(DS[[j]])$fitk)
fitk[exfit3]
fitkienerX(DS[[j]], exfitk = exfit3)

FatTailsR documentation built on May 29, 2024, 1:33 a.m.