Parameter estimation in the quantile-based asymmetric Student's-t distribution by using method of moments are discussed in Gijbels et al. (2019a). We here used the first four sample moments to estimate parameter θ=(μ,φ,α,ν) under the assumption that the first four population moments exist, which needs to assume ν>4.
This is a vector of quantiles.
This is the index parameter α. If α is unknown, indicate NULL which is the default option. In this case, the sample skewness will be used to estimate α. If α is known, then the value of α has to be specified in the function.
momATD provides the method of moments estimates of the unknown parameters of the distribution.
Gijbels, I., Karim, R. and Verhasselt, A. (2019a). On quantile-based asymmetric family of distributions: properties and inference. International Statistical Review, https://doi.org/10.1111/insr.12324.
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