sstd {fGarch}R Documentation

Skew Student-t Distribution and Parameter Estimation

Description

Functions to compute density, distribution function, quantile function and to generate random variates for the standardized skew Student-t distribution. In addition maximum likelihood estimators are available to fit the parameters of the distribution.

The functions are:

[dpqr]std Symmetric Student-t Distribution,
[dpqr]sstd Skew Student-t Distribution,
stdFit MLE parameter fit for a Sudent-t distribution,
sstdFit MLE parameter fit for a skew Sudent-t distribution,
sstdSlider Displays interactively skew GED distribution.

Usage

dstd(x, mean = 0, sd = 1, nu = 5)
pstd(q, mean = 0, sd = 1, nu = 5)
qstd(p, mean = 0, sd = 1, nu = 5)
rstd(n, mean = 0, sd = 1, nu = 5)

dsstd(x, mean = 0, sd = 1, nu = 5, xi = 1.5)
psstd(q, mean = 0, sd = 1, nu = 5, xi = 1.5)
qsstd(p, mean = 0, sd = 1, nu = 5, xi = 1.5)
rsstd(n, mean = 0, sd = 1, nu = 5, xi = 1.5)

stdFit(x, ...)
sstdFit(x, ...)

sstdSlider(type = c("dist", "rand"))

Arguments

mean, sd, nu, xi

location parameter mean, scale parameter sd, shape parameter nu, skewness parameter xi.

n

the number of observations.

p

a numeric vector of probabilities.

type

a character string denoting which interactive plot should be displayed. Either a distribution plot type="dist", the default value, or a random variates plot, type="rand".

x, q

a numeric vector of quantiles.

...

parameters parsed to the optimization function nlm.

Details

Parameter Estimation:

The function nlminb is used to minimize the "negative" maximum log-likelihood function. nlminb carries out a minimization using a Newton-type algorithm.

Value

d* returns the density, p* returns the distribution function, q* returns the quantile function, and r* generates random deviates,
all values are numeric vectors.

[s]stdFit returns a list with the following components:

par

The best set of parameters found.

objective

The value of objective corresponding to par.

convergence

An integer code. 0 indicates successful convergence.

message

A character string giving any additional information returned by the optimizer, or NULL. For details, see PORT documentation.

iterations

Number of iterations performed.

evaluations

Number of objective function and gradient function evaluations.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

References

Fernandez C., Steel M.F.J. (2000); On Bayesian Modelling of Fat Tails and Skewness, Preprint, 31 pages.

Examples

## sstd -
   par(mfrow = c(2, 2))
   set.seed(1953)
   r = rsstd(n = 1000)
   plot(r, type = "l", main = "sstd", col = "steelblue")
   
   # Plot empirical density and compare with true density:
   hist(r, n = 25, probability = TRUE, border = "white", col = "steelblue")
   box()
   x = seq(min(r), max(r), length = 201)
   lines(x, dsstd(x), lwd = 2)
   
   # Plot df and compare with true df:
   plot(sort(r), (1:1000/1000), main = "Probability", col = "steelblue",
     ylab = "Probability")
   lines(x, psstd(x), lwd = 2)
   
   # Compute quantiles:
   round(qsstd(psstd(q = seq(-1, 5, by = 1))), digits = 6)
       
## sstdFit -
   sstdFit(r, print.level = 2)

[Package fGarch version 2110.80.1 Index]