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Function to fit the parameters of the skew generalized error distribution.
sgedFit(x, …)
a numeric vector of quantiles.
parameters parsed to the optimization function nlm.
nlm
sgedFit returns a list with the following components:
sgedFit
The best set of parameters found.
The value of objective corresponding to par.
par
An integer code. 0 indicates successful convergence.
A character string giving any additional information returned by the optimizer, or NULL. For details, see PORT documentation.
Number of iterations performed.
Number of objective function and gradient function evaluations.
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.
# NOT RUN { ## rsged - set.seed(1953) r = rsged(n = 1000) ## sgedFit - sgedFit(r) # }
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