Computes the skew-t density from a matrix of quantiles using linear optimization method.
l_density(
quantiles,
levels = c(0.05, 0.25, 0.5, 0.75, 0.95),
est_points = 512,
random_samples = 5000,
support = c(-10, 10),
seed = NULL
)An object of class "fars_density", which is a list containing:
A matrix of estimated densities for each time period (rows) across estimation points (columns).
A matrix of random draws from the fitted skew-t distribution for each time period.
The optimization method used (either 'nloptr' or 'optim').
The sequence of evaluation points used to compute the density. Useful for plotting.
A matrix of quantiles. Each row represents a time observation, and each column corresponds to a quantile level.
A numeric vector of the quantile levels corresponding to the columns of the quantile matrix (default: c(0.05, 0.25, 0.50, 0.75, 0.95)).
Integer. The number of evaluation points for the estimated density (default: 512).
Integer. The number of random samples to draw from the fitted skew-t distribution (default: 5000).
Numeric vector of length 2. Defines the lower and upper limits of the density evaluation range. Used with est_points to create the evaluation grid. Default: c(-10, 10).
Optional integer to set the random seed for reproducibility.