correction_factor_t: Correction factor C_t(nu) for Student-t leverage estimation
In wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models
correction_factor_t R Documentation
Correction factor C_t(nu) for Student-t leverage estimation
Description
Under scale mixture u_t = z_t \lambda_t^{-1/2},
C_t(\nu) = [E[\lambda^{-1/2}]]^2 = (\nu/2) [\Gamma((\nu-1)/2) / \Gamma(\nu/2)]^2.
Exact, parameter-free.
Usage
correction_factor_t(nu)
Arguments
nu
Degrees of freedom (nu > 1)
Value
C_t(nu), always > 1 for finite nu (approaches 1 as nu -> Inf)
wARMASVp documentation built on May 15, 2026, 5:07 p.m.
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| correction_factor_t | R Documentation |
Correction factor C_t(nu) for Student-t leverage estimation
Description
Under scale mixture u_t = z_t \lambda_t^{-1/2},
C_t(\nu) = [E[\lambda^{-1/2}]]^2 = (\nu/2) [\Gamma((\nu-1)/2) / \Gamma(\nu/2)]^2.
Exact, parameter-free.
Usage
correction_factor_t(nu)
Arguments
nu |
Degrees of freedom (nu > 1) |
Value
C_t(nu), always > 1 for finite nu (approaches 1 as nu -> Inf)
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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