stdFit {fGarch} | R Documentation |
Student-t distribution parameter estimation
Description
Fits the parameters of the standardized Student-t distribution.
Usage
stdFit(x, ...)
Arguments
x |
a numeric vector of quantiles. |
... |
parameters parsed to the optimization function |
Value
stdFit
returns a list with the following components:
par |
The best set of parameters found. |
objective |
The value of objective corresponding to |
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. |
Author(s)
Diethelm Wuertz for the Rmetrics R-port
References
Fernandez C., Steel M.F.J. (2000); On Bayesian Modelling of Fat Tails and Skewness, Preprint, 31 pages.
See Also
Examples
## std -
set.seed(1953)
r = rstd(n = 1000)
## stdFit -
stdFit(r)
[Package fGarch version 4033.92 Index]