[R-SIG-Finance] ghyp package
dhruv.maheshwari at blackrock.com
Mon Dec 31 01:41:00 CET 2012
I don't think I fully understand what you are trying to do. The fit is performed by choosing distribution parameters that maximize a log-likelihood function, so there are no fitted values in the manner you might be expecting. The hist and qq functions just reuse the supplied data set (by calling ghyp.data on the mle.ghyp object), and plot the fitted distribution densities/quantiles by running dghyp/qghyp on the object. You can exactly what is going on by downloading the package source and looking at hist.ghyp in ghypGenericMethods.R and qqghyp in ghypMethods.R.
As this topic isn't directly finance-related, we can discuss further off-list or you can try R-help.
From: jun wang [junluke at gmail.com]
Sent: Sunday, December 30, 2012 13:02
To: Maheshwari, Dhruv
Cc: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] ghyp package
Thanks for your help. What i really meant is how to export the fitted values used to do the qqplot or histogram in ghyp package, not the estimated parameters. Do you have any suggestions?
Thanks a lot!!
On Fri, Dec 21, 2012 at 2:20 PM, Maheshwari, Dhruv <dhruv.maheshwari at blackrock.com> wrote:
The return value is of type mle.ghyp and ghyp. You can extract parameters using the functions described here --
.. which basically just return slot values like @lambda etc.
ghyp.fit.info is another way to retrieve info specific to the fitting process.
From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of jun wang
Sent: Thursday, December 20, 2012 23:07
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] ghyp package
Anyone knows how to get the fitted values in the 'fit.ghypuv' function of ghyp package? Really appreciate for any advice.
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