vgFitStart {VarianceGamma} | R Documentation |
Finds starting values for input to a maximum likelihood routine for fitting variance gamma distribution to data.
vgFitStart(x, breaks = NULL, startValues = "SL", paramStart = NULL, startMethodSL = "Nelder-Mead", startMethodMoM = "Nelder-Mead", ...) vgFitStartMoM(x, startMethodMoM = "Nelder-Mead", ...)
x |
Data vector. |
breaks |
Breaks for histogram. If missing, defaults to those
generated by
hist(x, right = FALSE, plot = FALSE) . |
startValues |
Vector of the different starting values to consider. See Details. |
paramStart |
Starting values for param if
startValues = "US" . |
startMethodSL |
Method used by call to optim in
finding skew Laplace estimates. |
startMethodMoM |
Method used by call to optim in
finding method of moments estimates. |
... |
Passes arguments to optim . |
Possible values of the argument startValues
are the following:
"US"
"SL"
"MoM"
If startValues = "US"
then a value must be supplied for
paramStart
.
If startValues = "MoM"
, vgFitStartMoM
is
called. These starting values are based on Barndorff-Nielsen et
al (1985).
If startValues = "SL"
, or startValues = "MoM"
an initial
optimisation is needed to find the starting values. These
optimisations call optim
.
vgFitStart
returns a list with components:
vgStart |
A vector with elements vgC , lSigma (log
of sigma), theta and lNu (log of nu) giving the
starting value of param. |
xName |
A character string with the actual x argument name. |
breaks |
The cell boundaries found by a call to
hist . |
midpoints |
The cell midpoints found by a call to
hist . |
empDens |
The estimated density found by a call to
hist . |
vgFitStartMoM
returns only the method of moments estimates
as a vector with elements vgC
, lSigma
(log of sigma),
theta
and lNu
(log of nu).
David Scott d.scott@auckland.ac.nz, Christine Yang Dong c.dong@auckland.ac.nz
Seneta, E. (2004). Fitting the variance-gamma model to financial data. J. Appl. Prob., 41A:177–187.
dvg
, dskewlap
,
vgFit
, hist
, and
optim
.
param <- c(0,0.5,0,0.5) dataVector <- rvg(500, param = param) vgFitStart(dataVector,startValues="SL") vgFitStartMoM(dataVector) vgFitStart(dataVector,startValues="MoM")