logreturn: Daily Log-returns of S&P 500.

In cnmlcd: Maximum Likelihood Estimation of a Log-Concave Density Function

Description

252 daily log-returns of S&P 500 from 03/01/2011 to 03/01/2012.

Usage

logreturn

Format

A vector of 252 values.

Source

Data retrieved from Yahoo Finance.

See Also

cnmlcd, lcd.

Examples

data(logreturn)
## Computes and plots the log-concave density estimate
(r = cnmlcd(logreturn))
plot(r$lcd, logreturn)                 # Density
plot(r$lcd, logreturn, log=TRUE)       # Log-density
plotgradient(r$lcd, logreturn)         # Gradient

Example output

Loading required package: lsei
$lcd
    alpha         C 
88.175919  9.573833 
            theta        pi
[1,] -0.001085961  28.68184
[2,]  0.002945579 169.00583
      lower       upper 
-0.06752007  0.04498141 

$ll
[1] 734.1859

$num.iterations
[1] 8

$max.gradient
[1] 1.117546e-07

$convergence
[1] 0

cnmlcd documentation built on May 1, 2019, 10:55 p.m.