Create an ECDF overlaid with a Normal CDF
Creates an emperical cumulative distribution function (ECDF) overlaid with a cumulative distribution function (CDF)
chart.ECDF(
R,
main = "Empirical CDF",
xlab = "x",
ylab = "F(x)",
colorset = c("black", "#005AFF"),
lwd = 1,
lty = c(1, 1),
element.color = "darkgray",
xaxis = TRUE,
yaxis = TRUE,
...
)R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
main |
set the chart title, same as in |
xlab |
set the x-axis label, same as in |
ylab |
set the y-axis label, same as in |
colorset |
color palette to use, defaults to c("black", "\#005AFF"), where first value is used to color the step function and the second color is used for the fitted normal |
lwd |
set the line width, same as in |
lty |
set the line type, same as in |
element.color |
specify the color of chart elements. Default is "darkgray" |
xaxis |
if true, draws the x axis |
yaxis |
if true, draws the y axis |
... |
any other passthru parameters to |
The empirical cumulative distribution function (ECDF for short) calculates
the fraction of observations less or equal to a given value. The resulting
plot is a step function of that fraction at each observation. This function
uses ecdf and overlays the CDF for a fitted normal function as well.
Inspired by a chart in Ruppert (2004).
Peter Carl
Ruppert, David. Statistics and Finance, an Introduction. Springer. 2004. Ch. 2 Fig. 2.5
data(edhec) chart.ECDF(edhec[, 1, drop=FALSE])
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