PerformanceAnalytics (version 0.9.7.1)

chart.ECDF: Create an ECDF overlaid with a Normal CDF

Description

Creates an emperical cumulative distribution function (ECDF) overlaid with a cumulative distribution function (CDF)

Usage

chart.ECDF(R, main = "Empirical CDF", xlab = "x", ylab = "F(x)", colorset = c("black", "#005AFF"), lwd = 1, xlim = NULL, ylim = NULL, darken = FALSE, lty = c(1, 1), ...)

Arguments

R

a vector, matrix, data frame, timeSeries or zoo object of asset returns

main

set the chart title, same as in plot

xlab

set the x-axis label, same as in plot

ylab

set the y-axis label, same as in plot

colorset

color palette to use, defaults to c("black", "#005AFF"), where first value is used to color the step function and the second color is used for the fitted normal

lwd

set the line width, same as in plot

xlim

set the x-axis limit, same as in plot

ylim

set the y-axis limit, same as in plot

darken

if true, draws the chart elements in "darkgray" rather than "gray". Makes it easier to print for some printers

lty

set the line type, same as in plot

...

any other passthru parameters to plot

Value

• chart of an ECDF calculated from the data overlaid with a CDF

Details

The empirical cumulative distribution function (ECDF for short) calculates the fraction of observations less or equal to a given value. The resulting plot is a step function of that fraction at each observation. This function uses ecdf and overlays the CDF for a fitted normal function as well. Inspired by a chart in Ruppert (2004).

References

Ruppert, David. Statistics and Finance, an Introduction. Springer. 2004. Ch. 2 Fig. 2.5

http://www.stat.tamu.edu/~ljin/Finance/chapter2/Fig2_5.txt

See Also

plot, ecdf

Examples

data(edhec)
chart.ECDF(edhec[,1])