dest {ExtremalDep}R Documentation

Univariate extended skew-t distribution

Description

Density function, distribution function for the univariate extended skew-t (EST) distribution.

Usage

dest(x, location=0, scale=1, shape=0, extended=0, df=Inf)
pest(x, location=0, scale=1, shape=0, extended=0, df=Inf)

Arguments

x

quantile.

location

location parameter. 0 is the default.

scale

scale parameter; must be positive. 1 is the default.

shape

skewness parameter. 0 is the default.

extended

extension parameter. 0 is the default.

df

a single positive value representing the degrees of freedom; it can be non-integer. Default value is nu=Inf which corresponds to the skew-normal distribution.

Value

density (dest), probability (pest) from the extended skew-t distribution with given location, scale, shape, extended and df parameters or from the skew-t if extended=0. If shape=0 and extended=0 then the t distribution is recovered.

Author(s)

Simone Padoan, simone.padoan@unibocconi.it, https://mypage.unibocconi.it/simonepadoan/; Boris Beranger, borisberanger@gmail.com https://www.borisberanger.com/;

References

Azzalini, A. and Capitanio, A. (2003). Distributions generated by perturbation of symmetry with emphasis on a multivariate skew-t distribution. J.Roy. Statist. Soc. B 65, 367–389.

Azzalini, A. with the collaboration of Capitanio, A. (2014). The Skew-normal and Related Families. Cambridge University Press, IMS Monographs series.

Examples


dens1 <- dest(x=1, shape=3, extended=2, df=1)
dens2 <- dest(x=1, shape=3, df=1)
dens3 <- dest(x=1, df=1)
dens4 <- dt(x=1, df=1)
prob1 <- pest(x=1, shape=3, extended=2, df=1)
prob2 <- pest(x=1, shape=3, df=1)
prob3 <- pest(x=1, df=1)
prob4 <- pt(q=1, df=1)


[Package ExtremalDep version 0.0.3-5 Index]