pit: Probability Integral Transform (PIT)
In tsgarch: Univariate GARCH Models
pit.tsgarch.estimate R Documentation
Probability Integral Transform (PIT)
Description
Calculates and returns the conditional probability integral
transform given the data and estimated density
Usage
## S3 method for class 'tsgarch.estimate'
pit(object, ...)
Arguments
object
an object.
...
not currently used.
Details
The PIT is essentially the probabilities returned from the cumulative
distribution function (*p) given the data and estimated value of the mean,
conditional standard deviation and any other distributional parameters.
Value
An xts vector of the conditional probabilities.
tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.
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| pit.tsgarch.estimate | R Documentation |
Probability Integral Transform (PIT)
Description
Calculates and returns the conditional probability integral transform given the data and estimated density
Usage
## S3 method for class 'tsgarch.estimate'
pit(object, ...)
Arguments
object |
an object. |
... |
not currently used. |
Details
The PIT is essentially the probabilities returned from the cumulative distribution function (*p) given the data and estimated value of the mean, conditional standard deviation and any other distributional parameters.
Value
An xts vector of the conditional probabilities.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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