Skew Student-t distribution parameter estimation

Fits the parameters of the skew Student-t distribution.

Usage

sstdFit(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 <- rsstd(n = 1000)

sstdFit(r)
#> $minimum
#> [1] 1306.033
#> 
#> $estimate
#>        mean          sd          nu          xi 
#> -0.01376393  1.00314970  4.21091035  1.37308787 
#> 
#> $gradient
#>          mean            sd            nu            xi 
#>  5.691163e-04  3.685488e-04  2.985997e-05 -1.288313e-04 
#> 
#> $code
#> [1] 1
#> 
#> $iterations
#> [1] 18
#>