laplacegaussnorm {FatTailsR}

Laplace-Gauss Normal Distribution Object

Description

An object designed after regkienerLX to summarize the information related to a given dataset when the Laplace-Gauss normal distribution is applied on it.

Usage

laplacegaussnorm(X)

Arguments

X

vector of quantiles.

Details

This function is designed after regkienerLX to provide a similar framework.

Value

A list with the following data.frame:

• dfrXPn: data.frame. X = initial quantiles. Pn = estimated normal probabilites.

• dfrXLn: data.frame. X = initial quantiles. Ln = logit of estimated normal probabilites.

• dfrXDn: data.frame. X = initial quantiles. Dn = estimated normal density.

• coefn: numeric. The mean and the standard deviation of the dataset.

• dfrQnPn: data.frame. Qn = estimated quantiles of interest. Pn = probability.

• dfrQnPn: data.frame. Qn = estimated quantiles of interest. Pn = logit of probability.

See Also

The regression function regkienerLX.

Examples

    
prices2returns <- function(x) { 100*diff(log(x)) }
CAC  <- prices2returns(as.numeric(EuStockMarkets[,3])) 
lgn  <- laplacegaussnorm( CAC )
attributes(lgn)
head(lgn$dfrXPn)
head(lgn$dfrXLn)
head(lgn$dfrXDn)
lgn$coefn
lgn$dfrQnPn
lgn$dfrQnLn