glshapeplot: Plot fitted shape parameters of the Generalized Lambda...

In gldist: An Asymmetry-Steepness Parameterization of the Generalized Lambda Distribution.

Description

Plot fitted shape parameters of the Generalized Lambda Distribution.

Usage

glshapeplot(x, method, moments = 1:4, ...)

Arguments

x	A numeric vector or a numeric matrix of values. Can be NULL if one wants to only draw the line of moments condition of existence.
method	A character value specifying which method should be used in fitgl.
moments	A numeric vector specifying which line of moments conditions should be drawn. Can be NULL if condition of existence of moments are not desired.
...	additional arguments passed to fitgl().

Value

A list with the output of fitgl for each column of x. Is NULL if no data was fitted, i.e. x = NULL.

Author(s)

Yohan Chalabi and Diethelm Wuertz

References

Y. Chalabi, D. J. Scott and D. Wuertz, An Asymmetry-Steepness Parameterization of the Generalized Lambda Distribution. Working paper, 2012.

See Also

fitgl, gldist, gldist-package

Examples

# Daily Closing Prices of Major European Stock Indices, 1991-1998
data("EuStockMarkets", package = "datasets")

# use percentile log returns
x <- apply(EuStockMarkets, 2, function(x) diff(log(x)))

# Fitted shape parameters
glshapeplot(x)

# without the line conditions of existence of moments
glshapeplot(x, method = "quant", moments = NULL)

# only the conditions of existence of the first 4 moments
glshapeplot(NULL, moments = 1:4)

gldist documentation built on April 6, 2017, 2:33 p.m.