binvgaussgeo_fit: Fits the bivariate inverse-Gaussian geometric distribution...
In camponsah/BivMixDist: Fit bivariate continous and discrete distributions as well as provide EM algorithm for discrete Pareto
Description
Usage
Arguments
Value
References
Examples
View source: R/bigg_distribution.R
Description
This function computes the parameter estimates, confidence interval, deviance and covariance matrix of bivariate inverse-Gaussian geometric distribution.
'
binvgaussgeo_fit BIGG model to data.
Usage
1
binvgaussgeo_fit(data, level = 0.95)
Arguments
data
bivariate vector (X,N) observations from BIGG model.
level
confidence level espressed between 0 and 1 (Default is 0.95).
Value
list of parameter estimates, confidence interval, deviance and covariance matrix.
References
Barreto-Souza, W. and Silva R. B. (2019). A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log-returns . Statistica Neerlandica, 73:211-233.
https://doi.org/10.1111/stan.12166
Examples
1
2
3
Data.df <- rbinvgaussgeo(50,mu=1.5, phi=2, p=0.6)
fit <- binvgaussgeo_fit(Data.df)
fit
camponsah/BivMixDist documentation built on Nov. 15, 2021, 3:11 a.m.
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Description Usage Arguments Value References Examples
View source: R/bigg_distribution.R
Description
This function computes the parameter estimates, confidence interval, deviance and covariance matrix of bivariate inverse-Gaussian geometric distribution. ' binvgaussgeo_fit BIGG model to data.
Usage
1 | binvgaussgeo_fit(data, level = 0.95)
|
Arguments
data |
bivariate vector (X,N) observations from BIGG model. |
level |
confidence level espressed between 0 and 1 (Default is 0.95). |
Value
list of parameter estimates, confidence interval, deviance and covariance matrix.
References
Barreto-Souza, W. and Silva R. B. (2019). A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log-returns . Statistica Neerlandica, 73:211-233. https://doi.org/10.1111/stan.12166
Examples
1 2 3 | Data.df <- rbinvgaussgeo(50,mu=1.5, phi=2, p=0.6)
fit <- binvgaussgeo_fit(Data.df)
fit
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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