random_distpars: Create random distribution parameter values

In sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

Create random distribution parameter values

Description

random_distpars generates random distribution parameter values

Usage

random_distpars(d, cond_dist)

Arguments

cond_dist

specifies the conditional distribution of the model as "Gaussian", "Student", "ind_Student", or "ind_skewed_t", where "ind_Student" the Student's t distribution with independent components, and "ind_skewed_t" is the skewed t distribution with independent components (see Hansen, 1994).

Value

Returns a numeric vector ...

If cond_dist == "Gaussian":

of length zero.

If cond_dist == "Student":

of length one containing a df param strictly larger than two.

If cond_dist == "ind_Student":

of length d containing df params strictly larger than two.

If cond_dist == "ind_skewed_t":

of length 2d containing df params strictly larger than two in the first d elements and skewness params strictly between -1 and 1 in the rest d elements.

sstvars documentation built on April 11, 2025, 5:47 p.m.