StockDistFit (version 1.0.0)

cauchy_fit: Fit Cauchy Distribution to a vector of returns/stock prices.

Description

This function fits the Cauchy distribution to a given data vector using the fitdist function from the fitdistrplus package. It returns the estimated parameters along with the AIC and BIC values for the fitted distribution.

Usage

cauchy_fit(vec)

Value

a list containing the following elements:

par

a numeric vector of length 2 containing the estimated values for the parameters of the fitted distribution: lambda (location) and alpha (scale).

aic

the Akaike information criterion (AIC) value for the fitted distribution.

bic

the Bayesian information criterion (BIC) value for the fitted distribution.

Arguments

vec

a numeric vector containing the data to be fitted.

See Also

norm_fit, t_fit, ghd_fit, hd_fit, sym.ghd_fit, sym.hd_fit, vg_fit, sym.vg_fit, nig_fit, ged_fit, skew.t_fit, skew.normal_fit, skew.ged_fit

Examples

stock_prices <- c(10, 11, 12, 13, 14, 17, 18)
returns <- diff(log(stock_prices))
cauchy_fit(returns)