Displaying 3 results from an estimated 3 matches for "t_fit".
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st_fit
2006 Nov 22
2
problems with garchFit
...:n])
acf(logr)
ar5 <- arima(logr, order = c(5, 0, 0), include.mean = T)
logr<- ar5$res
acf(logr)
#fit GARCH distribution
hist(logr, freq = F, ylim = c(0, 12), breaks = 'FD')
norm_fit <- normFit(logr)
curve(dnorm(x, norm_fit$est[1], norm_fit$est[2]), -.15, .15, add = TRUE,
col=2)
t_fit <- stdFit(logr)
curve(dstd(x, t_fit$est[1], t_fit$est[2], t_fit$est[3]), -.15, .15, add =
TRUE, col=6)
snorm_fit <- snormFit(logr)
curve(dsnorm(x, snorm_fit$est[1], snorm_fit$est[2], snorm_fit$est[3]), -.25,
.15, add = TRUE, col=4)
st_fit <- sstdFit(logr)
curve(dsstd(x, st_fit$est[1], st...
2006 Nov 22
0
questions about garchFit
...)
ar5 <- arima(logr, order = c(5, 0, 0), include.mean = T)
logr<- ar5$res #remove mean
acf(logr)
#fit GARCH distribution
hist(logr, freq = F, ylim = c(0, 12), breaks = 'FD')
norm_fit <- normFit(logr)
curve(dnorm(x, norm_fit$est[1], norm_fit$est[2]), -.15, .15, add = TRUE,
col=2)
t_fit <- stdFit(logr)
curve(dstd(x, t_fit$est[1], t_fit$est[2], t_fit$est[3]), -.15, .15, add =
TRUE, col=6)
snorm_fit <- snormFit(logr)
curve(dsnorm(x, snorm_fit$est[1], snorm_fit$est[2], snorm_fit$est[3]), -.25,
.15, add = TRUE, col=4)
st_fit <- sstdFit(logr)
curve(dsstd(x, st_fit$est[1], st...
2008 May 02
0
stdFit
...es for a
fitted location, scale, and degrees of freedom of a dataset. I have no
errors with the code however the estimates are not identical to the
estimates I am getting when using SAS and MatLab (both give me the same
estimates). Can someone comment on it?
Here is the simple two lines I am using
t_fit <- stdFit(independent)
est <- t_fit$est
where independent is my data to be fitted.
Thanks!
Alex
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