Empirical Distribution Function
This function calculates the empirical distribution function at each element of a vector of observations.
edf(v, adjust = FALSE)
v |
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adjust |
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vector
data(smi) data(ftse100) s1 <- window(ftse100, "1990-11-09", "2004-03-25") s1a <- alignDailySeries(s1) s2a <- alignDailySeries(smi) idx <- merge(s1a, s2a) r <-returns(idx) rp <- series(window(r, "1994-01-01", "2003-12-31")) rp <- rp[(rp[, 1] != 0) & (rp[, 2] !=0), ] Udata <- apply(rp, 2, edf, adjust = 1) plot(Udata)
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