pit.tsgarch.estimate {tsgarch}

Probability Integral Transform (PIT)

Description

Calculates and returns the conditional probability integral transform given the data and estimated density

Usage

## S3 method for class 'tsgarch.estimate'
pit(object, ...)

Arguments

object

an object.

...

not currently used.

Details

The PIT is essentially the probabilities returned from the cumulative distribution function (*p) given the data and estimated value of the mean, conditional standard deviation and any other distributional parameters.

Value

An xts vector of the conditional probabilities.