Skew generalized error distribution parameter estimation

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

Usage

sgedFit(x, ...)

Arguments

x: a numeric vector of quantiles.
...: parameters passed to the optimization function nlm.

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.

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.

Author

Diethelm Wuertz for the Rmetrics R-port

Examples

set.seed(1953)
r <- rsged(n = 1000)
       
sgedFit(r)
#> $par
#>       mean         sd         nu         xi 
#> 0.01115429 1.00416120 1.92236744 1.48742248 
#> 
#> $objective
#> [1] 1390.069
#> 
#> $convergence
#> [1] 0
#> 
#> $iterations
#> [1] 24
#> 
#> $evaluations
#> function gradient 
#>       33      147 
#> 
#> $message
#> [1] "relative convergence (4)"
#>