fit.st {QRMlib}R Documentation

Fit Student t Distribution

Description

fits univariate Student's t distribution

Usage

fit.st(data)

Arguments

data vector of data

Details

see page 75 of QRM

Value

list containing parameter estimates, standard errors and details of fit

See Also

fit.NH, fit.mNH, fit.mst

Examples

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); 

[Package QRMlib version 1.4.4 Index]