f_param_histo {atRisk}

Historical parameters

Description

This function allows to calculate historical parameters of distributions.

Usage

f_param_histo(qt_trgt, v_dep, v_expl, type_function, starting_values)

Arguments

qt_trgt

Numeric vector, dim k, of k quantiles for different qt-estimations (k>=4)

v_dep

Numeric vector of the dependent variable

v_expl

Numeric vector of the (k) explanatory variable(s)

type_function

String argument : "gaussian" for normal distribution or "skew-t" for t-student distribution

starting_values

Numeric vector with initial values for optimization

Value

A matrix with the historical parameters of the distribution

Examples

# Import data
data("data_US")

# Data process data_US
PIB_us_forward_1 = data_US["GDP"][c(2:length(data_US["GDP"][,1])),]
NFCI_us_lag_1 = data_US["NFCI"][c(1:(length(data_US["GDP"][,1]) - 1)),]

# Historical parameters for a skew-t distribution
results_s <- f_param_histo(qt_trgt= as.vector(c(0.10,0.25,0.75,0.90)),
v_dep=PIB_us_forward_1,
v_expl=NFCI_us_lag_1,
type_function="skew-t",
starting_values=c(0, 1, -0.5, 1.3))