dsged {tsdistributions}

Skewed Generalized Error Distribution of Fernandez and Steel

Description

Density, distribution, quantile function and random number generation for the skewed generalized error distribution parameterized in terms of mean, standard deviation, skew and shape parameters.

Usage

dsged(x, mu = 0, sigma = 1, skew = 1.5, shape = 2, log = FALSE)

psged(
  q,
  mu = 0,
  sigma = 1,
  skew = 1.5,
  shape = 2,
  lower_tail = TRUE,
  log = FALSE
)

qsged(
  p,
  mu = 0,
  sigma = 1,
  skew = 1.5,
  shape = 2,
  lower_tail = TRUE,
  log = FALSE
)

rsged(n, mu = 0, sigma = 1, skew = 1.5, shape = 2)

Arguments

x, q

vector of quantiles.

mu

mean.

sigma

standard deviation.

skew

skew parameter.

shape

shape parameter.

log

(logical) if TRUE, probabilities p are given as log(p).

lower_tail

if TRUE (default), probabilities are P[X \le x] otherwise, P[X > x].

p

vector of probabilities.

n

number of observations.

Value

d gives the density, p gives the distribution function, q gives the quantile function and r generates random deviates. Output depends on x or q length, or n for the random number generator.