densityFunctions: Density functions of multivariate Standard Skew Norm,...

In bayesDccGarch: Methods and Tools for Bayesian Dynamic Conditional Correlation GARCH(1,1) Model

Density functions of multivariate Standard Skew Norm, t-Student and GED distributions

Description

Compute the density function of Standard Skew Normal distribution (SSNORM) or density function of Standard Skew t-Student distribution (SST) or density function of Standard Skew GED distribution (SSGED)

Usage

  dssnorm(x, gamma=rep(1,length(x)), log=FALSE)
  
  dsst(x, gamma=rep(1,length(x)), nu=10, log=FALSE)
  
  dssged(x, gamma=rep(1,length(x)), delta=2, log=FALSE)

Arguments

x	a numeric vector for the point which the density will be computed.
gamma	a numeric vector for skew parameters. Must be positive.
nu	a numeric value of shape parameter of the multivariate Standard Skew t-Student distribution. Must be greater than 2.
delta	a numeric value of shape parameter of GED distribution. Must be positive.
log	logical; if TRUE, densities p are returned as log(p).

Value

Returns the computed value of the density.

Author(s)

Jose Augusto Fiorucci, Ricardo Sandes Ehlers and Francisco Louzada

References

Fioruci, J.A., Ehlers, R.S. Andrade Filho, M.G. Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions, Journal of Applied Statistics, 41(2), 320–331, 2014. <doi:10.1080/02664763.2013.839635>

See Also

bayesDccGarch-package

Examples

### Univariate symmetric standard norm distributions ###
dssnorm(x=0)
dsst(x=0, nu=100)
dssged(x=0, delta=2)

### Univariate standard skew norm distributions ###
dssnorm(x=0, gamma=1.5)
dsst(x=0, gamma=1.5, nu=100)
dssged(x=0, gamma=1.5, delta=2)

### Multivariate standard skew norm distributions ###
dssnorm(x=c(0,0), gamma=c(1.5,0.7))
dsst(x=c(0,0), gamma=c(1.5,0.7), nu=100)
dssged(x=c(0,0), gamma=c(1.5,0.7), delta=2)

bayesDccGarch documentation built on April 22, 2023, 9:08 a.m.