chart.ECDF: Create an ECDF overlaid with a Normal CDF

In ecjbosu/PerformanceAnalytics: Econometric tools for performance and risk analysis.

Description

Creates an emperical cumulative distribution function (ECDF) overlaid with a cumulative distribution function (CDF)

Usage

chart.ECDF(R, main = "Empirical CDF", xlab = "x", ylab = "F(x)",
  colorset = c("black", "#005AFF"), lwd = 1, lty = c(1, 1),
  element.color = "darkgray", xaxis = TRUE, yaxis = TRUE, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
main	set the chart title, same as in plot
xlab	set the x-axis label, same as in plot
ylab	set the y-axis label, same as in plot
xaxis	if true, draws the x axis
yaxis	if true, draws the y axis
colorset	color palette to use, defaults to c("black", "\#005AFF"), where first value is used to color the step function and the second color is used for the fitted normal
lwd	set the line width, same as in plot
element.color	specify the color of chart elements. Default is "darkgray"
lty	set the line type, same as in plot
...	any other passthru parameters to plot

Details

The empirical cumulative distribution function (ECDF for short) calculates the fraction of observations less or equal to a given value. The resulting plot is a step function of that fraction at each observation. This function uses ecdf and overlays the CDF for a fitted normal function as well. Inspired by a chart in Ruppert (2004).

Author(s)

Peter Carl

References

Ruppert, David. Statistics and Finance, an Introduction. Springer. 2004. Ch. 2 Fig. 2.5

http://www.stat.tamu.edu/~ljin/Finance/chapter2/Fig2_5.txt

See Also

plot, ecdf

Examples

data(edhec)
chart.ECDF(edhec[, 1, drop=FALSE])

ecjbosu/PerformanceAnalytics documentation built on March 24, 2020, 3:43 a.m.