dist-gedFit: Generalized Error Distribution Parameter Estimation

Description Usage Arguments Value Author(s) References Examples

Description

Function to fit the parameters of the generalized error distribution.

Usage

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gedFit(x, ...)

Arguments

x

a numeric vector of quantiles.

...

parameters parsed to the optimization function nlm.

Value

gedFit returns a list with the following components:

par

The best set of parameters found.

objective

The value of objective corresponding to par.

convergence

An integer code. 0 indicates successful convergence.

message

A character string giving any additional information returned by the optimizer, or NULL. For details, see PORT documentation.

iterations

Number of iterations performed.

evaluations

Number of objective function and gradient function evaluations.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

References

Nelson D.B. (1991); Conditional Heteroscedasticity in Asset Returns: A New Approach, Econometrica, 59, 347–370.

Fernandez C., Steel M.F.J. (2000); On Bayesian Modelling of Fat Tails and Skewness, Preprint, 31 pages.

Examples

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## rged -
   set.seed(1953)
   r = rged(n = 1000)
       
## gedFit -
   gedFit(r)

Example output

Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fBasics


Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
$par
       mean          sd          nu 
-0.01416371  1.00755275  1.85747932 

$objective
[1] 1425.889

$convergence
[1] 0

$iterations
[1] 19

$evaluations
function gradient 
      29       91 

$message
[1] "relative convergence (4)"

fGarch documentation built on Nov. 17, 2017, 2:15 p.m.

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