Last data update: 2014.03.03
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R: Find Starting Values for Fitting a Variance Gamma...
vgFitStart | R Documentation |
Find Starting Values for Fitting a Variance Gamma Distribution
Description
Finds starting values for input to a maximum likelihood routine for
fitting variance gamma distribution to data.
Usage
vgFitStart(x, breaks = NULL, startValues = "SL", paramStart = NULL,
startMethodSL = "Nelder-Mead",
startMethodMoM = "Nelder-Mead", ...)
vgFitStartMoM(x, startMethodMoM = "Nelder-Mead", ...)
Arguments
x |
Data vector.
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breaks |
Breaks for histogram. If missing, defaults to those
generated by
hist(x, right = FALSE, plot = FALSE) .
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startValues |
Vector of the different starting values to consider.
See Details.
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paramStart |
Starting values for param if
startValues = "US" .
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startMethodSL |
Method used by call to optim in
finding skew Laplace estimates.
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startMethodMoM |
Method used by call to optim in
finding method of moments estimates.
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... |
Passes arguments to optim .
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Details
Possible values of the argument startValues are the following:
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 .
Value
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.
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xName |
A character string with the actual x argument name.
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breaks |
The cell boundaries found by a call to
hist .
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midpoints |
The cell midpoints found by a call to
hist .
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empDens |
The estimated density found by a call to
hist .
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vgFitStartMoM returns only the method of moments estimates
as a vector with elements vgC , lSigma (log of sigma),
theta and lNu (log of nu).
Author(s)
David Scott d.scott@auckland.ac.nz,
Christine Yang Dong c.dong@auckland.ac.nz
References
Seneta, E. (2004). Fitting the variance-gamma model to financial data.
J. Appl. Prob., 41A:177–187.
See Also
dvg , dskewlap ,
vgFit , hist , and
optim .
Examples
param <- c(0,0.5,0,0.5)
dataVector <- rvg(500, param = param)
vgFitStart(dataVector,startValues="SL")
vgFitStartMoM(dataVector)
vgFitStart(dataVector,startValues="MoM")
Results
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