fGarch (version 3010.82)

gedFit: Generalized Error Distribution Parameter Estimation

Description

Function to fit the parameters of the generalized error distribution.

Usage

gedFit(x, ...)

Arguments

x

a numeric vector of quantiles.

...

parameters parsed to the optimization function nlm.

Value

• gedFit 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.

Examples

## rged -
   set.seed(1953)
   r = rged(n = 1000)
       
## gedFit -
   gedFit(r)