distribution_modelspec function

Specification of distribution model

distribution_modelspec(y, distribution = "norm", ...)

Arguments

• y: a numeric vector
• distribution: the type of distribution. Valid choices are norm (Normal), snorm (Skew Normal), std (Student), sstd (Skew Student), ged (Generalized Error), sged (Skew Generalized Error), nig (Normal Inverse Gaussian), gh (Generalized Hyperbolic), ghst (Generalized Hyperbolic Skew Student) and jsu (Johnson's SU).
• ...: not currently used

Returns

An object of class tsdistribution.spec .

Details

All distributions are parameterized in terms of their mean (mu ), standard deviation sigma , skew skew and shape shape parameters. Additionally, for the Generalized Hyperbolic distribution, there is an extra shape parameter lambda arising from the GIG mixing distribution. Parameters can be fixed post initialization by setting setting specific values to the value column in the parmatrix table and setting the estimate

variable to 0 (instead of 1).

Examples

spec <- distribution_modelspec(rnorm(1000), distribution = "gh")
# fix lambda and shape
spec$parmatrix[parameter == 'lambda', value := 30]
spec$parmatrix[parameter == 'lambda', estimate := 0]