mlsged: Skew Generalized Error distribution maximum likelihood...

In JonasMoss/univariateML: Maximum Likelihood Estimation for Univariate Densities

Skew Generalized Error distribution maximum likelihood estimation

Description

Joint maximum likelihood estimation as implemented by fGarch::sgedFit.

Usage

mlsged(x, na.rm = FALSE, ...)

Arguments

x	a (non-empty) numeric vector of data values.
na.rm	logical. Should missing values be removed?
...	currently affects nothing.

Details

For the density function of the Student t-distribution see sged.

Value

mlsged returns an object of class univariateML. This is a named numeric vector with maximum likelihood estimates for the parameters mean, sd, nu, xi, and the following attributes:

model	The name of the model.
density	The density associated with the estimates.
logLik	The loglikelihood at the maximum.
support	The support of the density.
n	The number of observations.
call	The call as captured my match.call

References

Nelson D.B. (1991); Conditional Heteroscedasticity in Asset Returns: A New Approach, Econometrica, 59, 347<U+2013>370.

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

See Also

sged for the Student t-density.

Examples

mlsged(precip)

JonasMoss/univariateML documentation built on Nov. 3, 2024, 3:03 p.m.