R: Standardized GH Distribution Fit

sghFit {fBasics}

R Documentation

Standardized GH Distribution Fit

Description

Estimates the distrinbutional parameters for a standardized generalized hyperbolic distribution.

Usage

sghFit(x, zeta = 1, rho = 0, lambda = 1, include.lambda = TRUE,
    scale = TRUE, doplot = TRUE, span = "auto", trace = TRUE, 
    title = NULL, description = NULL, ...)

Arguments

`x`	a numeric vector.
`zeta, rho, lambda`	shape parameter `zeta` is positive, skewness parameter `rho` is in the range (-1, 1). and index parameter `lambda`, by default 1.
`include.lambda`	a logical flag, by default `TRUE`. Should the index parameter `lambda` included in the parameter estimate?
`scale`	a logical flag, by default `TRUE`. Should the time series be scaled by its standard deviation to achieve a more stable optimization?
`doplot`	a logical flag. Should a plot be displayed?
`span`	x-coordinates for the plot, by default 100 values automatically selected and ranging between the 0.001, and 0.999 quantiles. Alternatively, you can specify the range by an expression like `span=seq(min, max, times = n)`, where, `min` and `max` are the left and right endpoints of the range, and `n` gives the number of the intermediate points.
`trace`	a logical flag. Should the parameter estimation process be traced?
`title`	a character string which allows for a project title.
`description`	a character string which allows for a brief description.
`...`	parameters to be parsed.

Value

returns a list with the following components:

`estimate`	the point at which the maximum value of the log liklihood function is obtained.
`minimum`	the value of the estimated maximum, i.e. the value of the log liklihood function.
`code`	an integer indicating why the optimization process terminated. 1: relative gradient is close to zero, current iterate is probably solution; 2: successive iterates within tolerance, current iterate is probably solution; 3: last global step failed to locate a point lower than `estimate`. Either `estimate` is an approximate local minimum of the function or `steptol` is too small; 4: iteration limit exceeded; 5: maximum step size `stepmax` exceeded five consecutive times. Either the function is unbounded below, becomes asymptotic to a finite value from above in some direction or `stepmax` is too small.
`gradient`	the gradient at the estimated maximum.
`steps`	number of function calls.

Examples

    
## sghFit -
   # Simulate Random Variates:
   set.seed(1953)
   s = rsgh(n = 2000, zeta = 0.7, rho = 0.5, lambda = 0) 

## sghFit -  
   # Fit Parameters:
   sghFit(s, zeta = 1, rho = 0, lambda = 1, include.lambda = TRUE, 
     doplot = TRUE)

[Package fBasics version 2160.81 Index]