fGarch (version 4052.93)

sgedFit: Skew generalized error distribution parameter estimation

Description

Function to fit the parameters of the skew generalized error distribution.

Usage

sgedFit(x, ...)

Value

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.

Arguments

x

a numeric vector of quantiles.

...

parameters passed to the optimization function nlm.

Author

Diethelm Wuertz for the Rmetrics R-port

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.

See Also

sged, sgedSlider

Examples

set.seed(1953)
r <- rsged(n = 1000)
       
sgedFit(r)