spd

The Semi-Parametric Distribution is a piecewise distribution constructed by parametrically modelling the tails of the distribution using an appropriate distribution (the generalized pareto is used here) and the interior by kernel methods. The package implements fit, distribution, density, quantile and random number generation. It is actively used in both the rugarch and rmgarch packages.

The stable version is on CRAN.

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Install

install.packages('spd')

Monthly Downloads

7,408

Version

2.0-1

License

GPL

Last Published

July 3rd, 2015

Functions in spd (2.0-1)