R help - Jan 2012 - Issues with PearsonIV distribution

Hi team,
I am facing issues with PearsonIV distribution fitting in R.
I am applying Hyperbolic and PearsonIV distributions on the equity returns in UK
over a period of 30 years.
For the same data set i am getting strikingly different results under which
Hyperbolic distribution does produce negative percentiles of the return after
fitting but PearsonIV distribution does not.
I think there is an issue with PearsonIV distribution in R; also there are no
plots available for PearsonIV distribution.
Can you help? I am ready to share my code.

Gaurang Mehta
Risk Calibration | Group Economic Capital | Aviva Group
Email: gaurang.jitendrabhai@aviva.com
14th Floor, St Helen's
1 Undershaft
London, EC3P 3DQ


Aviva plc, registered Office: St. Helen's, 1 Undershaft, London EC3P 3DQ.
Registered in England No. 02468686. www.aviva.com
This message and any attachments may be confidential or ...{{dropped:10}}

Which implementation of Pearson IV are you using?

If it's trouble with a homebrewed one, you might want to use the p/q
functions here:
http://cran.r-project.org/web/packages/PearsonDS/index.html

Otherwise, you likely will have to share some code for any concrete help.

Michael

On Wed, Jan 25, 2012 at 12:16 PM,  <gaurang.jitendrabhai at aviva.com>
wrote:
> Hi team,
> I am facing issues with PearsonIV distribution fitting in R.
> I am applying Hyperbolic and PearsonIV distributions on the equity returns
in UK over a period of 30 years.
> For the same data set i am getting strikingly different results under which
Hyperbolic distribution does produce negative percentiles of the return after
fitting but PearsonIV distribution does not.
> I think there is an issue with PearsonIV distribution in R; also there are
no plots available for PearsonIV distribution.
> Can you help? I am ready to share my code.
>
> Gaurang Mehta
> Risk Calibration | Group Economic Capital | Aviva Group
> Email: gaurang.jitendrabhai at aviva.com
> 14th Floor, St Helen's
> 1 Undershaft
> London, EC3P 3DQ
>
>
> Aviva plc, registered Office: St. Helen's, 1 Undershaft, London EC3P
3DQ. Registered in England No. 02468686. www.aviva.com
> This message and any attachments may be confidential or ...{{dropped:10}}
>
> ______________________________________________
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