find_dist {fEGarch} | R Documentation |
Optimal Distribution Fitting to IID Data
Description
Given a series supposed to be from independent and identically distributed (iid) random variables, fit all eight distributions of this package to the data using maximum-likelihood estimation (MLE) and select the best one following either the BIC (the default) or the AIC.
Usage
find_dist(
x,
dists = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald"),
fix_mean = NULL,
fix_sdev = NULL,
Prange = c(1, 5),
criterion = c("bic", "aic")
)
Arguments
x |
the vector of iid values to fit distributions to. |
dists |
a vector with all the distribution abbreviations which should be considered in the selection process; by default, all eight distributions of this package are considered. |
fix_mean |
a value to fix the unconditional mean of the distribution to;
with the default |
fix_sdev |
a value to fix the unconditional standard deviation of the distribution to;
with the default |
Prange |
a two-element vector giving the search range for the shape parameter
|
criterion |
either |
Details
For information on the method and distributions, we refer the reader to
distr_est
.
Value
Returns an object of class "fEGarch_distr_est"
with various slots
representing the estimation results of the selected fitted distribution.
Examples
x <- rnorm(2000) * 2.1 + 10.5
find_dist(x)