dist-ghtFit: GHT distribution fit

In fBasics: Rmetrics - Markets and Basic Statistics

GHT distribution fit

Description

Estimates the distributional parameters for a generalized hyperbolic Student-t distribution.

Usage

 
ghtFit(x, beta = 0.1, delta = 1, mu = 0, nu = 10, 
    scale = TRUE, doplot = TRUE, span = "auto", trace = TRUE, 
    title = NULL, description = NULL, ...) 

Arguments

beta, delta, mu	numeric values. beta is the skewness parameter in the range (0, alpha); delta is the scale parameter, must be zero or positive; mu is the location parameter, by default 0. These are the parameters in the first parameterization.
nu	defines the number of degrees of freedom. Note, alpha takes the limit of abs(beta), and lambda=-nu/2.
x	a numeric vector.
scale	a logical flag, by default TRUE. Should the time series be scaled by its standard deviation to achieve a more stable optimization?
doplot	a logical flag. Should a plot be displayed?
span	x-coordinates for the plot, by default 100 values automatically selected and ranging between the 0.001, and 0.999 quantiles. Alternatively, you can specify the range by an expression like span=seq(min, max, times = n), where, min and max are the left and right endpoints of the range, and n gives the number of the intermediate points.
trace	a logical flag. Should the parameter estimation process be traced?
title	a character string which allows for a project title.
description	a character string which allows for a brief description.
...	parameters to be parsed.

Details

The function nlm is used to minimize the "negative" log-likelihood function. nlm carries out a minimization using a Newton-type algorithm.

Value

an object from class "fDISTFIT". Slot fit is a list, currently with components estimate, minimum and code.

Examples

## ghtFit -
   # Simulate Random Variates:
   set.seed(1953)
   
## ghtFit -  
   # Fit Parameters:

fBasics documentation built on Sept. 11, 2024, 6:34 p.m.