[R] Issues with PearsonIV distribution

[gaurang.jitendrabhai at aviva.com]

Hi Michael,
I am using the same version contributed by Martin Backer. I have been in touch with him via email as well. He said yesterday that he can help me with it but is busy for some time.
This distribution function does not behave properly as can be seen in the attached spreadsheet. Check sheet "Rcode&Output" for Pearson Distribution fits in comparison to hyperbolic and normal fits on the same sample data.
Regards,
Gaurang 

-----Original Message-----
From: R. Michael Weylandt [mailto:michael.weylandt at gmail.com] 
Sent: 25 January 2012 20:00
To: Jitendrabhai Gaurang (AGC)
Cc: R-help at r-project.org
Subject: Re: [R] Issues with PearsonIV distribution

Which implementation of Pearson IV are you using?

If it's trouble with a homebrewed one, you might want to use the p/q
functions here:
http://cran.r-project.org/web/packages/PearsonDS/index.html

Otherwise, you likely will have to share some code for any concrete help.

Michael

On Wed, Jan 25, 2012 at 12:16 PM,  <gaurang.jitendrabhai at aviva.com> wrote:
> Hi team,
> I am facing issues with PearsonIV distribution fitting in R.
> I am applying Hyperbolic and PearsonIV distributions on the equity returns in UK over a period of 30 years.
> For the same data set i am getting strikingly different results under which Hyperbolic distribution does produce negative percentiles of the return after fitting but PearsonIV distribution does not.
> I think there is an issue with PearsonIV distribution in R; also there are no plots available for PearsonIV distribution.
> Can you help? I am ready to share my code.
>
> Gaurang Mehta
> Risk Calibration | Group Economic Capital | Aviva Group
> Email: gaurang.jitendrabhai at aviva.com
> 14th Floor, St Helen's
> 1 Undershaft
> London, EC3P 3DQ
>
>
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