summary.skewhypFit: Summarising the Skew Hyperbolic Student t-Distribution Fit

In SkewHyperbolic: The Skew Hyperbolic Student t-Distribution

Summarising the Skew Hyperbolic Student t-Distribution Fit

Description

summary Method for class "skewhypFit".

Usage

## S3 method for class 'skewhypFit'
summary(object, ...)
## S3 method for class 'summary.skewhypFit'
print(x, digits = max(3,
getOption("digits") - 3), ...)

Arguments

object	An object of class "skewhypFit", resulting from a call to skewhypFit.
x	An object of class "summary.skewhypFit", resulting from a call to summary.skewhypFit.
digits	The number of significant digits to use when printing.
...	Further arguments passed to or from other methods.

Details

summary.skewhypFit calculates standard errors for errors for the estimates of \mu, \delta, \beta and \nu of the skew hyperbolic Student t-distribution parameter vector param, if the Hessian from the call to optim or nlm is available. Because the parameters in the call to the optimiser are \mu, \log(\delta), \beta and \log(\nu) the delta method is used to obtain standard errors for \delta and \nu

Value

If the Hessian is available summary.skewhyhpFit computes standard errors of \mu, \delta, \beta and \nu, and adds them to object as object$sds. Otherwise, no calculations are performed and the composition object is unaltered.

summary.skewhypFit invisibly returns x with class changed to summary.skewhypFit.

See skewhypFit for the composition of an object of class skewhypFit.

print.summary.skewhypFit prints a summary in the same format as print.skewhypFit when the Hessian is not available from the fit. When the Hessian is available, the standard errors for the parameter estimates are printed in parentheses beneath the parameter estimates, in the manner of fitdistr in the package MASS.

Author(s)

David Scott [e-mail], Fiona Grimson

References

Aas, K. and Haff, I. H. (2006). The Generalised Hyperbolic Skew Student's t-distribution, Journal of Financial Econometrics, 4, 275–309.

See Also

skewhypFit, dskewhyp, summary

Examples

## Continuing the skewhypFit(.) example:
data(lrdji)
djfit <- skewhypFit(lrdji, print = FALSE, plot = FALSE, hessian = TRUE)
print(djfit)
summary(djfit)

SkewHyperbolic documentation built on Nov. 26, 2023, 3 p.m.