R/dist-ghtFit.R

In fBasics: Rmetrics - Markets and Basic Statistics

# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA  02111-1307  USA


################################################################################
# FUNCTION:            DESCRIPTION:
#  ghtFit               Fits parameters of a generalized hyperbolic density
################################################################################


ghtFit <-
function(x, beta = 0.1, delta = 1, mu = 0, nu = 10,
    scale = TRUE, doplot = TRUE, span = "auto", trace = TRUE,
    title = NULL, description = NULL, ...)
{
    # A function implemented by Diethelm Wuertz

    # Description:
    #   Fits parameters of a generalized hyperbolic density
    
    # Example:
    #   x = rght(10000); ghtFit(x, 0.2, 0.8, mean(x), 8)

    # FUNCTION:

    # Transform:
    x.orig = x
    x = as.vector(x)
    if (scale) {
        SD = sd(x)
        x = x / SD
    }

    # Settings:
    CALL = match.call()

    # Log-likelihood Function:
    obj <- function(x, y = x, trace){
        if (NA %in% x) return(1e99)
        ## if (abs(x[2]) >= x[1]) return(1e99)
        f = -sum(log(dght(y, x[1], x[2], x[3], x[4])))
        # Print Iteration Path:
        if (trace) {
            cat("\n Objective Function Value:  ", -f)
            cat("\n Parameter Estimates:       ", x, "\n")
        }
        f
    }

    # Variable Transformation and Minimization:
    eps = 1e-10
    BIG = 1000
    f = obj(x = c(beta, delta, mu, nu), y = x, trace = FALSE)
    r = nlminb(start = c(beta, delta, mu, nu), objective = obj,
        lower = c(-BIG, eps, -BIG, -BIG), upper = BIG, y = x,
        trace = trace)
    names(r$par) <- c("beta", "delta", "mu", "nu")

    # Result:
    if (scale) {
        r$par = r$par / c(SD, 1/SD, 1/SD, 1)
        r$objective = obj(r$par, y = as.vector(x.orig), trace = trace)
    }

    # Optional Plot:
    if (doplot) {
        x = as.vector(x.orig)
        if (span == "auto") span = seq(min(x), max(x), length = 51)
        z = density(x, n = 100, ...)
        x = z$x[z$y > 0]
        y = z$y[z$y > 0]
        y.points = dght(span, r$par[1], r$par[2], r$par[3], r$par[4])
        ylim = log(c(min(y.points), max(y.points)))
        plot(x, log(y), xlim = c(span[1], span[length(span)]),
            ylim = ylim, type = "p", xlab = "x", ylab = "log f(x)", ...)
        title("GHT Parameter Estimation")
        lines(x = span, y = log(y.points), col = "steelblue")
    }

    # Add Title and Description:
    if (is.null(title)) title = "Generalized Hyperbolic Parameter Estimation"
    if (is.null(description)) description = ""

    # Fit:
    fit = list(
        estimate = r$par, 
        minimum = -r$objective, 
        code = r$convergence)

    # Return Value:
    new("fDISTFIT",
        call = as.call(CALL),
        model = "Generalized Hyperbolic Distribution",
        data = as.data.frame(x.orig),
        fit = fit,
        title = as.character(title),
        description = description )
}


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