stand_t_dens: The density function of the univariate t distribution with...

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

The density function of the univariate t distribution with zero mean and unit variance

Description

stand_t_dens calculates the density of the univariate t distribution with zero mean and unit variance, described, for example, in Virolainen (2025).

Usage

stand_t_dens(y, nu)

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.

Details

See Virolainen (2025) and the references therein, for example, for the details of the density function of t-distribution with zero mean and unit variance (assume the skewness parameter value is zero to obtain the non-skewed version of the t-distribution).

Value

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

References

• Virolainen S. 2025. Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models. Unpublished working paper, available as arXiv:2404.19707.

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