| chart.ECDF {PerformanceAnalytics} | R Documentation |
Creates an emperical cumulative distribution function (ECDF) overlaid with a cumulative distribution function (CDF)
chart.ECDF(R, main = "Empirical CDF", xlab = "x", ylab = "F(x)", colorset = c("black", "#005AFF"), lwd = 1, xlim = NULL, ylim = NULL, lty = c(1, 1), element.color = "darkgray", ...)
R |
an xts, 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 |
element.color |
specify the color of chart elements. Default is "darkgray" |
lty |
set the line type, same as in plot |
... |
any other passthru parameters to plot |
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).
chart of an ECDF calculated from the data overlaid with a CDF
Peter Carl
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
data(edhec) chart.ECDF(edhec[, 1, drop=FALSE])