Description Usage Arguments Author(s) References Examples
This function produces Q-Q plot with envelopes for a time series following conditional symmetric distribution.
1 | qqplot(model, envelope = 0.95 , B = 400)
|
model |
a result of a call to |
envelope |
confidence level for point-wise confidence envelope, or FALSE for no envelope. |
B |
integer; number of bootstrap replications for confidence envelope. Default is 400 iterations. |
Vinicius Quintas Souto Maior and Francisco Jose A. Cysneiros
Maintainer: Vinicius Quintas Souto Maior <vinicius@de.ufpe.br>
Cleveland, W.S. (1994). The Elements of Graphing Data, Hobart Press.
Thode, Henry C. (2002). Testing for normality, New York: Marcel Dekker.
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 | data(assets)
attach(assets)
# Return in the prices on Microsoft and SP500 index
N = length(msf)
.sp500 = ((sp500[2:N]-sp500[1:(N-1)])/sp500[1:(N-1)])*100
.msf = ((msf[2:N]-msf[1:(N-1)])/msf[1:(N-1)])*100
# The T-bill rates were divided by 253 to convert to a daily rate
.tbill = tbill/253
# Excess return in the d prices on Microsoft and SP500 index
Y = .msf - .tbill[1:(N-1)]
X = .sp500 - .tbill[1:(N-1)]
# Period from April 4, 2002 to October 4, 2002
serie = Y[2122:2240]
aux = cbind(X[2122:2240])
# Fit SYMARMA models
fit.1 = elliptical.ts(serie,order=c(0,0,1),xreg=aux,include.mean=FALSE,
family="Normal")
fit.2 = elliptical.ts(serie,order=c(0,0,1),xreg=aux,include.mean=FALSE,
family="Student",index1=4)
# Q-Q Plots
qqplot(fit.1, B = 50)
qqplot(fit.2, envelope = FALSE)
|
Attaching package: 'sym.arma'
The following objects are masked from 'package:stats':
influence, predict, qqplot
Call:
symarma(0,0,1) - family: Normal
Coefficients:
Estimate Std. Error
aux 1.2835 0.0952
ma1 -0.1531 0.0930
Varphi estimated: 3.9693 (Std. Error: 0.5168)
Log-likelihood: -248.77
RMSE: 3.35
Number of iterations in Fisher scoring optimization: 5
Call:
symarma(0,0,1) - family: Student
Coefficients:
Estimate Std. Error
aux 1.2448 0.0885
ma1 -0.1917 0.0865
Varphi estimated: 2.4537 (Std. Error: 0.4226)
Log-likelihood: -247.25
RMSE: 3.08
Number of iterations in Fisher scoring optimization: 10
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