fit.st {QRMlib} | R Documentation |
fits univariate Student's t distribution
fit.st(data)
data |
vector of data |
see page 75 of QRM
list containing parameter estimates, standard errors and details of fit
data(DJ); Ret.DJ <- mk.returns(DJ); window1.start <- timeDate("01/01/1993",format="%m/%d/%Y"); window1.end <- timeDate("12/31/2000",format="%m/%d/%Y"); sample1 <- (seriesPositions(Ret.DJ) > window1.start & seriesPositions(Ret.DJ) < window1.end); DJ30daily <- Ret.DJ[sample1,]; DJ30daily <- 100*seriesData(DJ30daily); rseries <- DJ30daily[,"MSFT"]; mod.t <- fit.st(rseries);