skewed_t_dens {sstvars} | R Documentation |
The density function of the univariate skewed t distribution
Description
skewed_t_dens
calculates the density of the univariate skewed t distribution described in Hansen (1994).
Usage
skewed_t_dens(y, nu, lambda)
Arguments
y |
a numeric vector containing the values at which the density is to be evaluated. |
nu |
the degrees of freedom parameter value, a numeric scalar strictly larger than two. |
lambda |
the skewness parameter value, a numeric scalar strictly between -1 and 1. |
Details
See Hansen (1994, Section 2.4) for the details of the skewed t distribution.
Value
Returns a numeric vector of the same length as y
containing the density values.
References
Hansen B.E. 1994. Autoregressive Conditional Density estimation. Journal of Econometrics, 35:3, 705-730.
[Package sstvars version 1.1.2 Index]