Create an ECDF overlaid with a Normal CDF

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,
  lty = c(1, 1),
  element.color = "darkgray",
  xaxis = TRUE,
  yaxis = TRUE,
  ...
)

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
lty: set the line type, same as in plot
element.color: specify the color of chart elements. Default is "darkgray"
xaxis: if true, draws the x axis
yaxis: if true, draws the y axis
...: 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).

References

Ruppert, David. Statistics and Finance, an Introduction. Springer. 2004. Ch. 2 Fig. 2.5

Author

Peter Carl

Examples


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