univariateML (version 1.1.1)

mlsged: Skew Generalized Error distribution maximum likelihood estimation

Description

Joint maximum likelihood estimation as implemented by fGarch::sgedFit.

Usage

mlsged(x, na.rm = FALSE, ...)

Value

mlsged returns an object of class

univariateML. This is a named numeric vector with maximum likelihood estimates for the parameters mean, sd, nu, xi, and the following attributes:

model

The name of the model.

density

The density associated with the estimates.

logLik

The loglikelihood at the maximum.

support

The support of the density.

n

The number of observations.

call

The call as captured my match.call

Arguments

x

a (non-empty) numeric vector of data values.

na.rm

logical. Should missing values be removed?

...

currently affects nothing.

Details

For the density function of the Student t-distribution see sged.

References

Nelson D.B. (1991); Conditional Heteroscedasticity in Asset Returns: A New Approach, Econometrica, 59, 347–370.

Fernandez C., Steel M.F.J. (2000); On Bayesian Modelling of Fat Tails and Skewness, Preprint.

See Also

sged for the Student t-density.

Examples

mlsged(precip)