densityFunctions function

Density functions of multivariate Standard Skew Norm, t-Student and GED distributions

Compute the density function of Standard Skew Normal distribution (SSNORM) or density function of Standard Skew t-Student distribution (SST) or density function of Standard Skew GED distribution (SSGED)

dssnorm(x, gamma=rep(1,length(x)), log=FALSE)
  
  dsst(x, gamma=rep(1,length(x)), nu=10, log=FALSE)
  
  dssged(x, gamma=rep(1,length(x)), delta=2, log=FALSE)

Arguments

• x: a numeric vector for the point which the density will be computed.
• gamma: a numeric vector for skew parameters. Must be positive.
• nu: a numeric value of shape parameter of the multivariate Standard Skew t-Student distribution. Must be greater than 2.
• delta: a numeric value of shape parameter of GED distribution. Must be positive.
• log: logical; if TRUE, densities p are returned as log(p).

Returns

Returns the computed value of the density.

References

Fioruci, J.A., Ehlers, R.S. Andrade Filho, M.G. Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions, Journal of Applied Statistics, 41(2), 320--331, 2014. doi:10.1080/02664763.2013.839635

Author(s)

Jose Augusto Fiorucci, Ricardo Sandes Ehlers and Francisco Louzada

See Also

bayesDccGarch-package

Examples

### Univariate symmetric standard norm distributions ###
dssnorm(x=0)
dsst(x=0, nu=100)
dssged(x=0, delta=2)

### Univariate standard skew norm distributions ###
dssnorm(x=0, gamma=1.5)
dsst(x=0, gamma=1.5, nu=100)
dssged(x=0, gamma=1.5, delta=2)

### Multivariate standard skew norm distributions ###
dssnorm(x=c(0,0), gamma=c(1.5,0.7))
dsst(x=c(0,0), gamma=c(1.5,0.7), nu=100)
dssged(x=c(0,0), gamma=c(1.5,0.7), delta=2)