skewed_t_dens function

The density function of the univariate skewed t distribution

skewed_t_dens calculates the density of the univariate skewed t distribution described in Hansen (1994).

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.

Returns

Returns a numeric vector of the same length as y containing the density values.

Details

See Hansen (1994, Section 2.4) for the details of the skewed t distribution.

References

• Hansen B.E. 1994. Autoregressive Conditional Density estimation. Journal of Econometrics, 35 :3, 705-730.