| vgFit {VarianceGamma} | R Documentation |
Fits a variance gamma distribution to data. Displays the histogram, log-histogram (both with fitted densities), Q-Q plot and P-P plot for the fit which has the maximum likelihood.
vgFit(x, freq = NULL, breaks = NULL, paramStart = NULL,
startMethod = "Nelder-Mead", startValues = "SL",
method = "Nelder-Mead", hessian = FALSE,
plots = FALSE, printOut = FALSE,
controlBFGS = list(maxit = 200),
controlNM = list(maxit = 1000), maxitNLM = 1500, ...)
## S3 method for class 'vgFit':
print(x, digits = max(3, getOption("digits") - 3), ...)
## S3 method for class 'vgFit':
plot(x, which = 1:4,
plotTitles = paste(c("Histogram of ","Log-Histogram of ",
"Q-Q Plot of ","P-P Plot of "), x$obsName,
sep = ""),
ask = prod(par("mfcol")) < length(which) && dev.interactive(),
...)
x |
Data vector for vgFit. Object of class
"vgFit" for print.vgFit and plot.vgFit. |
freq |
A vector of weights with length equal to length(x). |
breaks |
Breaks for histogram, defaults to those generated by
hist(x, right = FALSE, plot = FALSE). |
paramStart |
A user specified starting parameter vector param taking
the form c(vgC,sigma,theta,nu). |
startMethod |
Method used by vgFitStart in calls to
optim, default is "Nelder-Mead". See Details. |
startValues |
Code giving the method of determining starting values for finding the maximum likelihood estimate of param, default method is "SL". See Details. |
method |
Different optimisation methods to consider, default is "Nelder-Mead". See Details. |
hessian |
Logical. If TRUE the value of the hessian is
returned. |
plots |
Logical. If FALSE suppresses printing of the
histogram, log-histogram, Q-Q plot and P-P plot. |
printOut |
Logical. If FALSE suppresses printing of
results of fitting. |
controlBFGS |
A list of control parameters for optim when using
the "BFGS" optimisation. |
controlNM |
A list of control parameters for optim
when using the "Nelder-Mead" optimisation. |
maxitNLM |
A positive integer specifying the maximum number of
iterations when using the "nlm" optimisation. |
digits |
Desired number of digits when the object is printed. |
which |
If a subset of the plots is required, specify a subset of
the numbers 1:4. |
plotTitles |
Titles to appear above the plots. |
ask |
Logical. If TRUE, the user is asked before
each plot, see par(ask = .). |
... |
Passes arguments to par, hist,
logHist, qqhyperb and pphyperb. |
startMethod can be either "BFGS" or
"Nelder-Mead".
startValues can be one of the following:
"US""SL""MoM"
For the details concerning the use of paramStart,
startMethod, and startValues, see
vgFitStart.
The three optimisation methods currently available are:
"BFGS""BFGS" as
documented in optim."Nelder-Mead"optim."nlm"nlm function in R.
For details of how to pass control information for optimisation using
optim and nlm, see optim and
nlm.
When method = "Nelder-Mead" is used, very rarely, it would return an
error message of "error in optim(paramStart,...)", use method = "BFGS"
or method = "nlm" instead in that case.
When method = "nlm" is used, warnings may be produced. These do
not appear to be a problem.
A list with components:
param |
A vector giving the maximum likelihood estimate of
param, as (c,sigma,theta,nu). |
maxLik |
The value of the maximised log-likelihood. |
hessian |
If hessian was set to TRUE, the value
of the hessian. Not present otherwise. |
method |
Optimisation method used. |
conv |
Convergence code. See the relevant documentation (either
optim or nlm) for details on
convergence. |
iter |
Number of iterations of optimisation routine. |
obs |
The data used to fit the hyperbolic distribution. |
obsName |
A character string with the actual obs argument
name. |
paramStart |
Starting value of param returned by call to
vgFitStart. |
svName |
Descriptive name for the method finding start values. |
startValues |
Acronym for the method of finding start values. |
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. |
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.
optim, nlm, par,
hist, logHist,
qqvg, ppvg,
dskewlap and
vgFitStart.
param <- c(0,0.5,0,0.5) dataVector <- rvg(500, param = param) ## See how well vgFit works vgFit(dataVector) vgFit(dataVector, plots = TRUE) fit <- vgFit(dataVector) par(mfrow = c(1,2)) plot(fit, which = c(1,3)) ## Use nlm instead of default param <- c(0,0.5,0,0.5) dataVector <- rvg(500, param = param) vgFit(dataVector, method = "nlm", hessian = TRUE) ## Use BFGS instead of deault param <- c(0,0.5,0,0.5) dataVector <- rvg(500, param = param) vgFit(dataVector, method = "BFGS", hessian = TRUE)