chart.ECDF {PerformanceAnalytics}R Documentation

Create an ECDF overlaid with a Normal CDF


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

See Also

plot, ecdf


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

[Package PerformanceAnalytics version 0.9.9-5 Index]