Displaying 1 result from an estimated 1 matches for "meanfit".
Did you mean:
eafit
2011 Mar 14
0
Fitting 4 moments distribution w/ Mixture Gaussian
Hello,
I know that Mclust does the fitting on its own but I am trying to implement
an optimization with the aim to generate a the mixture gaussian with the
combine moments as closed as possible to the moment of my return
distribution.
The objective is to Min Abs((Mean Ret - MeanFit)/Mean Fit) + Abs((Std Ret
-Stdev Fit)/Stdev) + Abs((Sk Ret-Sk fit)/Sk Fit) + Abs((Kurt Ret- Kurt Fit))
Taking into account that I fix the weight between the two gaussians at
(0.2;0.8) I implemented the below code in R:
distance <-function(parameter,x) {
u=mean(x)
s=sd(x)
sk=skewness(x)...