dst: Skew-t Distribution

Description Usage Arguments Value Details References See Also Examples

Description

Density function, distribution function and random number generation for the skew-t (ST) distribution. Functions copied from sn CRAN library v0.4.18 for argument name compatibility with st.mle function from the same version.

Usage

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dst(x, location = 0, scale = 1, shape = 0, df = Inf, dp = NULL, log = FALSE)

rst(n = 1, location = 0, scale = 1, shape = 0, df = Inf, dp = NULL)

pst(x, location = 0, scale = 1, shape = 0, df = Inf, dp = NULL, ...)

qst(
  p,
  location = 0,
  scale = 1,
  shape = 0,
  df = Inf,
  tol = 1e-06,
  dp = NULL,
  ...
)

Arguments

x

vector of quantiles. Missing values (NAs) are allowed.

location

vector of location parameters.

scale

vector of (positive) scale parameters.

shape

vector of shape parameters. With pst and qst, it must be of length 1.

df

degrees of freedom (scalar); default is df=Inf which corresponds to the skew-normal distribution.

dp

a vector of length 4, whose elements represent location, scale (positive), shape and df, respectively. If dp is specified, the individual parameters cannot be set.

log

logical; if TRUE, densities are given as log-densities.

n

sample size.

...

additional parameters passed to integrate.

p

vector of probabililities

tol

a scalar value which regulates the accuracy of the result of qsn.

Value

Density (dst), probability (pst), quantiles (qst) and random sample (rst) from the skew-t distribution with given location, scale, shape and df parameters.

Details

Typical usages are

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scale=1, shape=0, df=Inf, log=FALSE) dst(x, dp=, log=FALSE) pst(x,
location=0, scale=1, shape=0, df=Inf, ...) pst(x, dp=, log=FALSE) qst(p,
location=0, scale=1, shape=0, df=Inf, tol=1e-8, ...) qst(x, dp=, log=FALSE)
rst(n=1, location=0, scale=1, shape=0, df=Inf) rst(x, dp=, log=FALSE) 

References

Azzalini, A. and Capitanio, A. (2003). Distributions generated by perturbation of symmetry with emphasis on a multivariate skew-t distribution. J.Roy. Statist. Soc. B 65, 367–389.

See Also

st.mle

Examples

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pdf <- dst(seq(-4,4,by=0.1), shape=3, df=5)
rnd <- rst(100, 5, 2, -5, 8)
q <- qst(c(0.25,0.5,0.75), shape=3, df=5)
stopifnot(identical(all.equal(pst(q, shape=3, df=5), c(0.25,0.5,0.75)), TRUE))

doppelgangR documentation built on Nov. 8, 2020, 6:36 p.m.