ST1: The skew t distributions, type 1 to 5

In gamlss.dist: Distributions for Generalized Additive Models for Location Scale and Shape

The skew t distributions, type 1 to 5

Description

There are 5 different skew t distributions implemented in GAMLSS.

The Skew t type 1 distribution, ST1, is based on Azzalini (1986), see pp. 411-412 of Rigby et al. (2019).

The skew t type 2 distribution, ST2, is based on Azzalini and Capitanio (2003) see pp. 412-414 of Rigby et al. (2019).

The skew t type 3 , ST3 and ST3C, distribution is based Fernande and Steel (1998) see pp 413-415 of Rigby et al. (2019). The difference betwwen the ST3 and ST3C is that the first is written entirely in R while the second is in C.

The skew t type 4 distribution , ST4, is a spliced-shape distribution see see pp 413-415 of Rigby et al. (2019).

The skew t type 5 distribution , ST5, is Jones and Faddy (2003).

The SST is a reparametrised version of ST3 where sigma is the standard deviation of the distribution.

Usage

ST1(mu.link = "identity", sigma.link = "log", nu.link = "identity", tau.link="log")
dST1(x, mu = 0, sigma = 1, nu = 0, tau = 2, log = FALSE)
pST1(q, mu = 0, sigma = 1, nu = 0, tau = 2, lower.tail = TRUE, log.p = FALSE)
qST1(p, mu = 0, sigma = 1, nu = 0, tau = 2, lower.tail = TRUE, log.p = FALSE)
rST1(n, mu = 0, sigma = 1, nu = 0, tau = 2)

ST2(mu.link = "identity", sigma.link = "log", nu.link = "identity", tau.link = "log")
dST2(x, mu = 0, sigma = 1, nu = 0, tau = 2, log = FALSE)
pST2(q, mu = 0, sigma = 1, nu = 0, tau = 2, lower.tail = TRUE, log.p = FALSE)
qST2(p, mu = 1, sigma = 1, nu = 0, tau = 2, lower.tail = TRUE, log.p = FALSE)
rST2(n, mu = 0, sigma = 1, nu = 0, tau = 2)

ST3(mu.link = "identity", sigma.link = "log", nu.link = "log", tau.link = "log")
dST3(x, mu = 0, sigma = 1, nu = 1, tau = 10, log = FALSE)
pST3(q, mu = 0, sigma = 1, nu = 1, tau = 10, lower.tail = TRUE, log.p = FALSE)
qST3(p, mu = 0, sigma = 1, nu = 1, tau = 10, lower.tail = TRUE, log.p = FALSE)
rST3(n, mu = 0, sigma = 1, nu = 1, tau = 10)

ST3C(mu.link = "identity", sigma.link = "log", nu.link = "log", tau.link = "log")
dST3C(x, mu = 0, sigma = 1, nu = 1, tau = 10, log = FALSE)
pST3C(q, mu = 0, sigma = 1, nu = 1, tau = 10, lower.tail = TRUE, log.p = FALSE)
qST3C(p, mu = 0, sigma = 1, nu = 1, tau = 10, lower.tail = TRUE, log.p = FALSE)
rST3C(n, mu = 0, sigma = 1, nu = 1, tau = 10)

SST(mu.link = "identity", sigma.link = "log", nu.link = "log", 
   tau.link = "logshiftto2")
dSST(x, mu = 0, sigma = 1, nu = 0.8, tau = 7, log = FALSE)
pSST(q, mu = 0, sigma = 1, nu = 0.8, tau = 7, lower.tail = TRUE, log.p = FALSE)
qSST(p, mu = 0, sigma = 1, nu = 0.8, tau = 7, lower.tail = TRUE, log.p = FALSE)
rSST(n, mu = 0, sigma = 1, nu = 0.8, tau = 7)

ST4(mu.link = "identity", sigma.link = "log", nu.link = "log", tau.link = "log")
dST4(x, mu = 0, sigma = 1, nu = 1, tau = 10, log = FALSE)
pST4(q, mu = 0, sigma = 1, nu = 1, tau = 10, lower.tail = TRUE, log.p = FALSE)
qST4(p, mu = 0, sigma = 1, nu = 1, tau = 10, lower.tail = TRUE, log.p = FALSE)
rST4(n, mu = 0, sigma = 1, nu = 1, tau = 10)

ST5(mu.link = "identity", sigma.link = "log", nu.link = "identity", tau.link = "log")
dST5(x, mu = 0, sigma = 1, nu = 0, tau = 1, log = FALSE)
pST5(q, mu = 0, sigma = 1, nu = 0, tau = 1, lower.tail = TRUE, log.p = FALSE)
qST5(p, mu = 0, sigma = 1, nu = 0, tau = 1, lower.tail = TRUE, log.p = FALSE)
rST5(n, mu = 0, sigma = 1, nu = 0, tau = 1)

Arguments

mu.link	Defines the mu.link, with "identity" link as the default for the mu parameter. Other links are "1/mu^2" and "log"
sigma.link	Defines the sigma.link, with "log" link as the default for the sigma parameter. Other links are "inverse" and "identity"
nu.link	Defines the nu.link, with "identity" link as the default for the nu parameter. Other links are "1/mu^2" and "log"
tau.link	Defines the nu.link, with "log" link as the default for the nu parameter. Other links are "inverse", "identity"
x,q	vector of quantiles
mu	vector of mu parameter values
sigma	vector of scale parameter values
nu	vector of nu parameter values
tau	vector of tau parameter values
log, log.p	logical; if TRUE, probabilities p are given as log(p).
lower.tail	logical; if TRUE (default), probabilities are P[X <= x], otherwise, P[X > x]
p	vector of probabilities.
n	number of observations. If length(n) > 1, the length is taken to be the number required

Details

The definitions of all Skew t distributions is given in pp.409-420 of of Rigby et al. (2019).

Note

The mean of the ex-Gaussian is \mu+\nu and the variance is \sigma^2+\nu^2.

Author(s)

Bob Rigby and Mikis Stasinopoulos

References

Azzalini A. (1986) Futher results on a class of distributions which includes the normal ones, Statistica, 46, pp. 199-208.

Azzalini A. and Capitanio, A. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution, Journal of the Royal Statistical Society: Series B (Statistical Methodology), 65, pp. 367-389.

Jones, M.C. and Faddy, M. J. (2003) A skew extension of the t distribution, with applications. Journal of the Royal Statistical Society, Series B, 65, pp 159-174.

Fernandez, C. and Steel, M. F. (1998) On Bayesian modeling of fat tails and skewness. Journal of the American Statistical Association, 93, pp. 359-371.

Rigby, R. A. and Stasinopoulos D. M. (2005). Generalized additive models for location, scale and shape,(with discussion), Appl. Statist., 54, part 3, pp 507-554.

Rigby, R. A., Stasinopoulos, D. M., Heller, G. Z., and De Bastiani, F. (2019) Distributions for modeling location, scale, and shape: Using GAMLSS in R, Chapman and Hall/CRC, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1201/9780429298547")}. An older version can be found in https://www.gamlss.com/.

Stasinopoulos D. M. Rigby R.A. (2007) Generalized additive models for location scale and shape (GAMLSS) in R. Journal of Statistical Software, Vol. 23, Issue 7, Dec 2007, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v023.i07")}.

Stasinopoulos D. M., Rigby R.A., Heller G., Voudouris V., and De Bastiani F., (2017) Flexible Regression and Smoothing: Using GAMLSS in R, Chapman and Hall/CRC. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1201/b21973")}

(see also https://www.gamlss.com/).

See Also

gamlss.family, SEP1, SHASH

Examples

 
y<- rST5(200, mu=5, sigma=1, nu=.1)
hist(y)
curve(dST5(x, mu=30 ,sigma=5,nu=-1), -50, 50, main = "The ST5  density mu=30 ,sigma=5,nu=1")
# library(gamlss)
# m1<-gamlss(y~1, family=ST1)
# m2<-gamlss(y~1, family=ST2)
# m3<-gamlss(y~1, family=ST3)
# m4<-gamlss(y~1, family=ST4)
# m5<-gamlss(y~1, family=ST5) 
# GAIC(m1,m2,m3,m4,m5)

gamlss.dist documentation built on Aug. 24, 2023, 1:06 a.m.