densityFunctions {bayesDccGarch} R Documentation

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

### Description

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)

### Usage

```  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)`.

### Value

Returns the computed value of the density.

### Author(s)

Jose Augusto Fiorucci, Ricardo Sandes Ehlers and Francisco Louzada

### 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>

`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)
```

[Package bayesDccGarch version 3.0.3 Index]