# mvdist-mscFit: Multivariate Skew Cauchy Parameter Estimation In fMultivar: Rmetrics - Analysing and Modeling Multivariate Financial Return Distributions

## Description

Fitting the parameters for the Multivariate Skew Cauchy Distribution.

## Usage

 `1` ``` mscFit(x, trace=FALSE, title = NULL, description = NULL) ```

## Arguments

 `x` a matrix with "d" columns, giving the coordinates of the point(s) where the density must be evaluated. `trace` a logical value, should the estimation be traced? By default FALSE. `title` an optional project title. `description` an option project desctiption.

## Details

This is an easy to use wrapper function using default function settings for fitting the distributional parameters in the framework of the contributed package `"sn"` written by Adelchi Azzalini.

Starting values for the estimation have not to be provided, they are automatically created.

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46``` ```## Not run: ## Load Library: require(sn) ## mscFit - # Fit Example: N <- 1000 xi <- c(0, 0) Omega <- diag(2); Omega[2,1] <- Omega[1,2] <- 0.5 alpha <- c(2, -6) set.seed(4711) X <- rmsc(n=N, xi, Omega, alpha) ans <- mscFit(X) # Show fitted Parameters: print(ans) # 2-D Density Plot: plot(hexBinning(X[,1], X[, 2], bins = 30), main="Skew Cauchy") # Add Contours: N <- 101 x <- seq(min(X[, 1]), max(X[, 1]), l=N) y <- seq(min(X[, 2]), max(X[, 2]), l=N) u <- grid2d(x, y)\$x v <- grid2d(x, y)\$y XY <- cbind(u, v) param <- ans@fit\$dp Z <- matrix(dmsc(XY, param[[1]][1,], param[[2]], param[[3]]), ncol=N) contour(x, y, Z, add=TRUE, col="green", lwd=2) grid(col="brown", lty=3) ## Cut the Tails: CUT <- 25 X <- X[abs(X[, 1]) <= CUT, ] X <- X[abs(X[, 2]) <= CUT, ] plot(hexBinning(X[,1], X[, 2], bins = 30), main="Skew Cauchy") x <- y <- seq(-CUT, CUT, l=N) u <- grid2d(x, y)\$x v <- grid2d(x, y)\$y XY <- cbind(u, v) param <- ans@fit\$dp Z <- matrix(dmsc(XY, param[[1]][1,], param[[2]], param[[3]]), ncol=N) contour(x, y, Z, add=TRUE, col="green", lwd=2) grid(col="brown", lty=3) # Try larger cuts ... ## End(Not run) ```

### Example output

```Loading required package: timeDate

Attaching package: 'sn'

The following object is masked from 'package:fBasics':

vech

The following object is masked from 'package:stats':

sd

Title:
Skew Cauchy Parameter Estimation

Call:
mscFit(x = X)

Model:
Skew Cauchy Distribution

Estimated Parameter(s):
\$beta
[,1]         [,2]
[1,] -0.02944072 -0.008399548

\$Omega
[,1]      [,2]
[1,] 1.0642710 0.4999892
[2,] 0.4999892 0.9818502

\$alpha
[1]  2.621132 -7.339497

Description:
Sat Oct 20 23:46:44 2018 by user: anon
```

fMultivar documentation built on March 13, 2020, 3:06 a.m.