dist-stdFit function

Student-t distribution parameter estimation

Fits the parameters of the standardized Student-t distribution.

stdFit(x, ...)

Arguments

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

Returns

stdFit 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

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

std, stdSlider

Examples

## std -
   set.seed(1953)
   r = rstd(n = 1000)

       
## stdFit -
   stdFit(r)