Skew normal distribution parameter estimation

Fits the parameters of the skew normal distribution.

Usage

snormFit(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

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 <- rsnorm(n = 1000)

snormFit(r)
#> $par
#>       mean         sd         xi 
#> 0.06694004 1.03494430 1.57611278 
#> 
#> $objective
#> [1] 1413.746
#> 
#> $convergence
#> [1] 0
#> 
#> $iterations
#> [1] 24
#> 
#> $evaluations
#> function gradient 
#>       31       90 
#> 
#> $message
#> [1] "relative convergence (4)"
#>