fGarch: dist-sstdFit – R documentation

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dist-sstdFit

Skew Student-t Distribution Parameter Estimation

Function to fit the parameters of the Student-t distribution.

sstdFit(x, ...)

`x`	a numeric vector of quantiles.
`...`	parameters parsed to the optimization function `nlm`.

sstdFit 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.

Diethelm Wuertz for the Rmetrics R-port.

Fernandez C., Steel M.F.J. (2000); On Bayesian Modelling of Fat Tails and Skewness, Preprint, 31 pages.

## sstd -
   set.seed(1953)
   r = rsstd(n = 1000)

       
## sstdFit -
   sstdFit(r)

Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

v3042.83.2

GPL (>= 2)

Authors

Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb], Chris Boudt [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb]

Initial release

2017-11-12