| exfit0 {FatTailsR} | R Documentation |
Parameter Subsets
Description
Some vectors of parameter names to be used with parameter exfitk in
functions regkienerLX(.., exfitk = ...) and fitkienerX(.., exfitk = ...)
or to subset the vector (or matrix) fitk obtained after regression
fitk <- regkienerLX(..)$fitk or estimation fitk <- fitkienerX(..).
Visit fitkienerX for details on each parameter.
exfit0 <- c("lh", "ret")
exfit1 <- c("m", "g", "a", "k", "w", "d", "e")
exfit2 <- c("m1", "sd", "sk", "ke", "m1x", "sdx", "skx", "kex")
exfit3 <- c("q.01", "q.05", "q.95", "q.99", "ltm.025", "rtm.975")
exfit4 <- c("VaR.01", "VaR.05", "VaR.95", "VaR.99", "ES.025", "ES.975")
exfit5 <- c("c.01", "c.05", "c.95", "c.99", "h.025", "h.975")
exfit6 <- c(exfit1, exfit2, exfit3, exfit4, exfit5)
exfit7 <- c(exfit0, exfit1, exfit2, exfit3, exfit4, exfit5)
Usage
exfit0
exfit1
exfit2
exfit3
exfit4
exfit5
exfit6
exfit7
Format
An object of class character of length 2.
An object of class character of length 7.
An object of class character of length 8.
An object of class character of length 6.
An object of class character of length 6.
An object of class character of length 6.
An object of class character of length 33.
An object of class character of length 35.
Examples
require(minpack.lm)
require(timeSeries)
### Load the datasets and select one number j in 1:16
j <- 5
DS <- getDSdata()
(fitk <- regkienerLX(DS[[j]])$fitk)
fitk[exfit3]
fitkienerX(DS[[j]], exfitk = exfit3)