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Fitting t-distribution to the data

Posted: Mon Feb 23, 2015 10:35 am
by styx
Hello,
I'd like to fit t-distribution to data series and save the parameters of the distribution. I've realized that the command x.distdata(dtype=theory,dist=tdist) fits t-distribution to the data but does not allow to save the parameters. How could I save the estimated parameters?

Thank you very much.
Kind regards,
Peter

Re: Fitting t-distribution to the data

Posted: Mon Feb 23, 2015 12:56 pm
by EViews Glenn
There's nothing built-in that will be quick-and-easy.
Interactively, you can display the theoretical distribution plot with detailed labels, and then read the values off of the labels.
Otherwise, your best bet is to use the logl to estimate the distribution directly. You can then grab the results from the estimated coefficient vector.

Re: Fitting t-distribution to the data

Posted: Mon Feb 23, 2015 2:54 pm
by styx
Thank you Glenn, the detailed label solves the issue.

Best,
Péter