dist-sghFit: Standardized GH distribution fit

In fBasics: Rmetrics - Markets and Basic Statistics

Standardized GH distribution fit

Description

Estimates the distributional parameters for a standardized generalized hyperbolic distribution.

Usage

sghFit(x, zeta = 1, rho = 0, lambda = 1, include.lambda = TRUE,
    scale = TRUE, doplot = TRUE, span = "auto", trace = TRUE, 
    title = NULL, description = NULL, ...) 

Arguments

x	a numeric vector.
zeta, rho, lambda	shape parameter zeta is positive, skewness parameter rho is in the range (-1, 1). and index parameter lambda, by default 1.
include.lambda	a logical flag, by default TRUE. Should the index parameter lambda included in the parameter estimate?
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.

Value

an object from class "fDISTFIT". Slot fit is a list, currently with components estimate, minimum, code, param, mean (mean of the original data), var (variance of original data).

Examples

set.seed(1953)
s <- rsgh(n = 2000, zeta = 0.7, rho = 0.5, lambda = 0) 

sghFit(s, zeta = 1, rho = 0, lambda = 1, include.lambda = TRUE, 
       doplot = TRUE, trace = FALSE)

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