skewed_t_dens: The density function of the univariate skewed t distribution

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

The density function of the univariate skewed t distribution

Description

skewed_t_dens calculates the density of the univariate skewed t distribution described in Hansen (1994).

Usage

skewed_t_dens(y, nu, lambda)

Arguments

y	a numeric vector containing the values at which the density is to be evaluated.
nu	the degrees of freedom parameter value, a numeric scalar strictly larger than two.
lambda	the skewness parameter value, a numeric scalar strictly between -1 and 1.

Details

See Hansen (1994, Section 2.4) for the details of the skewed t distribution.

Value

Returns a numeric vector of the same length as y containing the density values.

References

• Hansen B.E. 1994. Autoregressive Conditional Density estimation. Journal of Econometrics, 35:3, 705-730.

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