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.weyla...@gmail.com]
Sent: 25 January 2012 20:00
To: Jitendrabhai Gaurang (AGC)
Cc: R-help@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.jitendrab...@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.jitendrab...@aviva.com
> 14th Floor, St Helen's
> 1 Undershaft
> London, EC3P 3DQ
>
>
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