correction_factor_ged_approx: Approximate correction factor C_g(nu) for GED leverage...
In wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models
correction_factor_ged_approx R Documentation
Approximate correction factor C_g(nu) for GED leverage (diagnostic use only)
Description
C_g(\nu) = E[|u|] \cdot \textrm{Cov}(z, F_{GED}^{-1}(\Phi(z))) / \sqrt{2/\pi}.
This is a first-order approximation; estimation uses the exact implicit equation.
Usage
correction_factor_ged_approx(nu, n_nodes = 200L)
Arguments
nu
GED shape parameter (nu > 0)
n_nodes
Number of GH quadrature nodes (default 200)
Value
Approximate C_g(nu)
wARMASVp documentation built on May 15, 2026, 5:07 p.m.
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| correction_factor_ged_approx | R Documentation |
Approximate correction factor C_g(nu) for GED leverage (diagnostic use only)
Description
C_g(\nu) = E[|u|] \cdot \textrm{Cov}(z, F_{GED}^{-1}(\Phi(z))) / \sqrt{2/\pi}.
This is a first-order approximation; estimation uses the exact implicit equation.
Usage
correction_factor_ged_approx(nu, n_nodes = 200L)
Arguments
nu |
GED shape parameter (nu > 0) |
n_nodes |
Number of GH quadrature nodes (default 200) |
Value
Approximate C_g(nu)
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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