Description Usage Arguments Details References Examples
Information matrix, asymptotic covariance and correlation matrix functions of Asymmetric Student-t distribution
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pars |
a vector of parameter values for an AST distribution |
data |
a vector of numeric data used to calculate observed information matrix |
method |
one of "expected" and "observed", calculating the expected / observed information matrix |
The expected information matrix is calculated by the expectation of the outer product of score functions, analytical formulas are provided in Zhu and Galbraith(2010). The observed information matrix is calculated by the expectation of negative Hessian Matrix of the log-likelihood function.
Zhu, D., & Galbraith, J. W. (2010). A generalized asymmetric Student-t distribution with application to financial econometrics. Journal of Econometrics, 157(2), 297-305.https://www.sciencedirect.com/science/article/pii/S0304407610000266 https://econpapers.repec.org/paper/circirwor/2009s-13.htm
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