fit_skewt: Moment estimation of the skew-t distribution

In dangulod/ECTools: Economic Capital Tools

Description

Moment estimation of the skew-t distribution

Usage

st = fit_skewt(x)
st
plot(st)
summary(st)
qst(0.99, df = get_param(st))
ks_test(st)
qqPlot(st)

Arguments

x	Numeric vector to fit
n_days	Number of days, to convolve the distribution

Value

This functions returns the estimated parameters of skew-t using the moment method and plot the observed and the fitted distribution

* skewtpar functions return a list with the following values:

* value, value of the function to minimize

* shape shape parameter to skew-t distribution

* df, nu parameter to skew-t distribution

* escala, omega parameter to skew-t distribution

* location, xi parameter to skew-t distribution

* convergence, logical value indicating whether the optimization has converged or not. 1 indicates successful convergence and 0 no convergence. A successful convergence is considered when the value of objetive the funcion is less than 0.0001

References

Technical Note No. 2. Skew t Distribution of Economic Capital Models Department Methodology & Model Development Area

Examples

st = fit_skewt(x)
st
plot(st)
summary(st)
qst(0.99, df = get_param(st))
ks_test(st)
qqPlot(st)

dangulod/ECTools documentation built on May 4, 2019, 3:19 p.m.