fGarch (version 3042.83.1)

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

# NOT RUN {
## rged -
   set.seed(1953)
   r = rged(n = 1000)
       
## gedFit -
   gedFit(r)
# }