Description Usage Arguments Value References Examples
Moment estimation of the skew-t distribution
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x |
Numeric vector to fit |
n_days |
Number of days, to convolve the distribution |
This functions returns the estimated parameters of skew-t using the moment method and plot the observed and the fitted distribution
* skewtpar functions return a list with the following values:
* value, value of the function to minimize
* shape shape parameter to skew-t distribution
* df, nu parameter to skew-t distribution
* escala, omega parameter to skew-t distribution
* location, xi parameter to skew-t distribution
* convergence, logical value indicating whether the optimization has converged or not. 1 indicates successful convergence and 0 no convergence. A successful convergence is considered when the value of objetive the funcion is less than 0.0001
Technical Note No. 2. Skew t Distribution of Economic Capital Models Department Methodology & Model Development Area
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