dist-sgedFit function

Skew generalized error distribution parameter estimation

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

sgedFit(x, ...)

Arguments

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

Returns

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.

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.

Author(s)

Diethelm Wuertz for the Rmetrics -port

See Also

sged, sgedSlider

Examples

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