FatTailsR (version 2.0.0)

exfit0: Parameter Subsets

Description

Some vectors of parameter names to be used with parameter exfitk in functions regkienerLX(.., exfitk = ...) and fitkienerX(.., exfitk = ...) or to subset the vector (or matrix) fitk obtained after regression fitk <- regkienerLX(..)$fitk or estimation fitk <- fitkienerX(..). Visit fitkienerX for details on each parameter.

exfit0 <- c("lh", "ret")

exfit1 <- c("m", "g", "a", "k", "w", "d", "e")

exfit2 <- c("m1", "sd", "sk", "ke", "m1x", "sdx", "skx", "kex")

exfit3 <- c("q.01", "q.05", "q.95", "q.99", "ltm.025", "rtm.975")

exfit4 <- c("VaR.01", "VaR.05", "VaR.95", "VaR.99", "ES.025", "ES.975")

exfit5 <- c("c.01", "c.05", "c.95", "c.99", "h.025", "h.975")

exfit6 <- c(exfit1, exfit2, exfit3, exfit4, exfit5)

exfit7 <- c(exfit0, exfit1, exfit2, exfit3, exfit4, exfit5)

Usage

exfit0
exfit1
exfit2
exfit3
exfit4
exfit5
exfit6
exfit7

Format

An object of class character of length 2.

An object of class character of length 7.

An object of class character of length 8.

An object of class character of length 6.

An object of class character of length 6.

An object of class character of length 6.

An object of class character of length 33.

An object of class character of length 35.

Examples

    

require(minpack.lm)
require(timeSeries)

### Load the datasets and select one number j in 1:16
j      <- 5
DS     <- getDSdata()
(fitk  <- regkienerLX(DS[[j]])$fitk)
fitk[exfit3]
fitkienerX(DS[[j]], exfitk = exfit3)