chart.ECDF {PerformanceAnalytics} | R Documentation |

## Create an ECDF overlaid with a Normal CDF

### Description

Creates an emperical cumulative distribution function (ECDF) overlaid with a cumulative distribution function (CDF)

### Usage

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", ...)

### Arguments

`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` |

### Details

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).

### Value

chart of an ECDF calculated from the data overlaid with a CDF

### Author(s)

Peter Carl

### References

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

### See Also

`plot`

, `ecdf`

### Examples

data(edhec)
chart.ECDF(edhec[, 1, drop=FALSE])

[Package

*PerformanceAnalytics* version 0.9.9-5

Index]