t_fit {StockDistFit} | R Documentation |
Fit Student's t Distribution to a vector of returns/stock prices.
Description
This function fits the Student's t distribution to a given data vector using the fit.tuv
function
from the ghyp
package. It returns the estimated parameters along with the AIC and BIC
values for the fitted distribution.
Usage
t_fit(vec)
Arguments
vec |
a numeric vector containing the data to be fitted. |
Value
a list containing the following elements:
- par
a numeric vector of length 5 containing the estimated values for the parameters of the fitted distribution: lambda (location), alpha (scale), mu (degrees of freedom), sigma (standard deviation), and gamma (skewness).
- aic
the Akaike information criterion (AIC) value for the fitted distribution.
- bic
the Bayesian information criterion (BIC) value for the fitted distribution.
See Also
norm_fit
, cauchy_fit
, ghd_fit
, hd_fit
,
sym.ghd_fit
, sym.hd_fit
, vg_fit
, sym.vg_fit
,
nig_fit
, ged_fit
, skew.t_fit
, skew.normal_fit
,
skew.ged_fit
Examples
stock_prices <- c(10, 11, 12, 13, 14, 17, 18)
returns <- diff(log(stock_prices))
t_fit(returns)