StockDistFit (version 1.0.0)

fit_multiple_dist: Fits Multiple Probability Distributions to several assets/stock prices.

Description

This function fits multiple probability distributions to a dataframe and calculates the Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) for each distribution and then returns a data frame of the AIC values for each asset where the column names are the names of the fitted distributions.

Usage

fit_multiple_dist(dist_names, dataframe)

Value

A list of distributions and their corresponding AIC and BIC values.

Arguments

dist_names

a character vector of distribution names to be fitted.

dataframe

a dataframe containing the data to be fitted.

Details

Note that the available distributions are

norm_fit - Normal distribution

t_fit - Student's t-distribution

cauchy_fit - Cauchy distribution

ghd_fit - Generalized hyperbolic distribution

hd_fit - Hyperbolic distribution

sym.ghd_fit - Symmetric generalized hyperbolic distribution

sym.hd_fit - Symmetric hyperbolic distribution

vg_fit - Variance-gamma distribution

sym.vg_fit - Symmetric variance-gamma distribution

nig_fit - Normal-inverse Gaussian distribution

ged_fit - Generalized error distribution

skew.t_fit - Skew Student's t-distribution

skew.normal_fit - Skew normal distribution

skew.ged_fit - Skew generalized error distribution

Also note that the distribution to be fitted from the above list must include the '_fit'. The function can also fit one distribution to one asset.

See Also

asset_loader

Examples

data <- asset_loader(system.file("extdata", package = "StockDistFit"), c("AAPL", "TSLA"), "Close")
fit_multiple_dist(c("norm_fit", "cauchy_fit"), data)