dist-sgedFit: Skew generalized error distribution parameter estimation

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Skew generalized error distribution parameter estimation

Description

Function to fit the parameters of the skew generalized error distribution.

Usage

sgedFit(x, ...)

Arguments

x	a numeric vector of quantiles.
...	parameters parsed to the optimization function nlm.

Value

sgedFit 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.

See Also

sged, sgedSlider

Examples

## rsged -
   set.seed(1953)
   r = rsged(n = 1000)
       
## sgedFit -
   sgedFit(r)

fGarch documentation built on March 27, 2024, 3:02 a.m.