dist-snormFit: Skew normal distribution parameter estimation

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Skew normal distribution parameter estimation

Description

Fits the parameters of the skew normal distribution.

Usage

snormFit(x, ...)

Arguments

x	a numeric vector of quantiles.
...	parameters passed to the optimization function nlm.

Value

snormFit returns a list with the following components:

par	The best set of parameters found.
objective	The value of objective corresponding to par.
convergence	An integer code. 0 indicates successful convergence.
message	A character string giving any additional information returned by the optimizer, or NULL. For details, see PORT documentation.
iterations	Number of iterations performed.
evaluations	Number of objective function and gradient function evaluations.

Author(s)

Diethelm Wuertz for the Rmetrics R-port

References

Fernandez C., Steel M.F.J. (2000); On Bayesian Modelling of Fat Tails and Skewness, Preprint, 31 pages.

See Also

snormFit (fit), snormSlider (visualize), absMoments

Examples

## rsnorm -
   set.seed(1953)
   r = rsnorm(n = 1000)
       
## snormFit -
   snormFit(r)

fGarch documentation built on May 29, 2024, 8:30 a.m.