stInfoMat: Skew-t Information Matrix Computation

In chindhanai/skewtInfo: Skew-t Information Matrix Computation

Description

Analytically compute skew-t observed information matrix, and compute skew-t expected information matrix numerically.

Usage

stInfoMat(y = NULL, dp, type = c("expected", "observed"))

Arguments

y	a vector of skew-t random variables used to compute an observed information matrix. Its default is NULL.
dp	a skew-t direct parameter used to compute an expected information matrix, or an observed information matrix
type	a character string with the type of information matrix to be computed

Value

A list of 4 elements:

dp	the direct skew-t parameters used in the computation
stInfoMat	the expected information matrix when type = "expected", and the observed information matrix when type = "observed"
SEMat	the asymptotic standard errors of the skew-t parameters when type = "expected", and the element-wise standard error of the observed information matrix in the case oftype = "observed".
type	the type of information matrix from the computation

Author(s)

Chindhanai Uthaisaad

Examples

require("sn")
data("Dreturns")
dp <- st.mple(y = Dreturns, penalty = "Qpenalty")$dp
stInfoMat(y = Dreturns, dp = dp, type = "observed")
stInfoMat(dp = dp, type = "expected")

chindhanai/skewtInfo documentation built on Sept. 17, 2019, 7:20 a.m.