library(FRAPO) library(fBasics) ## Loading of data data(INDTRACK3) P <- INDTRACK3[, -1] R <- returnseries(P, method = "discret", trim = TRUE) ## Fitting and calculating beta and lambda Fit <- apply(R, 2, gldFit, method = "rob", doplot = FALSE, trace = FALSE) DeltaBetaParam <- matrix(unlist(lapply(Fit, function(x){ l <- x@fit$estimate[c(3, 4)] res <- c(l[2] - l[1], l[1] + l[2]) res})), ncol = 2, byrow = TRUE) ## Shape triangle plot(DeltaBetaParam, xlim = c(-2, 2), ylim = c(-2, 0), xlab = expression(delta == lambda[4] - lambda[3]), ylab = expression(beta == lambda[3] + lambda[4]), pch = 19, cex = 0.5) segments(x0 = -2, y0 = -2, x1 = 0, y1 = 0, col = "grey", lwd = 0.8, lty = 2) segments(x0 = 2, y0 = -2, x1 = 0, y1 = 0, col = "grey", lwd = 0.8, lty = 2) segments(x0 = 0, y0 = -2, x1 = 0, y1 = 0, col = "blue", lwd = 0.8, lty = 2) segments(x0 = -0.5, y0 = -0.5, x1 = 0.5, y1 = -0.5, col = "red", lwd = 0.8, lty = 2) segments(x0 = -1.0, y0 = -1.0, x1 = 1.0, y1 = -1.0, col = "red", lwd = 0.8, lty = 2)