t_fit: Fit Student's t Distribution to a vector of returns/stock...
| t_fit | R Documentation |
Fit Student's t Distribution to a vector of returns/stock prices.
Description
This function fits the Student's t distribution to a given data vector using the fit.tuv function
from the ghyp package. It returns the estimated parameters along with the AIC and BIC
values for the fitted distribution.
Usage
t_fit(vec)
Arguments
vec |
a numeric vector containing the data to be fitted. |
Value
a list containing the following elements:
- par
a numeric vector of length 5 containing the estimated values for the parameters of the fitted distribution: lambda (location), alpha (scale), mu (degrees of freedom), sigma (standard deviation), and gamma (skewness).
- aic
the Akaike information criterion (AIC) value for the fitted distribution.
- bic
the Bayesian information criterion (BIC) value for the fitted distribution.
See Also
norm_fit, cauchy_fit, ghd_fit, hd_fit,
sym.ghd_fit, sym.hd_fit, vg_fit, sym.vg_fit,
nig_fit, ged_fit, skew.t_fit, skew.normal_fit,
skew.ged_fit
Examples
stock_prices <- c(10, 11, 12, 13, 14, 17, 18)
returns <- diff(log(stock_prices))
t_fit(returns)
