GAS (version 0.1.1)

distributions: Distributions of the GAS package.

Description

Density, distribution function, quantile funcion, random generator, moments, scores and information matrix of univariate and multivariate distributions of the GAS package.

Usage

ddist_univ(dY, vTheta, Dist, bLog)
pdist_univ(dQ, vTheta, Dist)
qdist_univ(dP, vTheta, Dist)
rdist_univ(vTheta, Dist)
mdist_univ(vTheta, Dist)
Score_univ(dY, vTheta, Dist)
IM_univ(vTheta, Dist)
ddist_multi(vY, vTheta, iN, Dist, bLog)
rdist_multi(vTheta, iN, Dist)
Score_multi(vY, vTheta, iN, Dist)

Arguments

dY, dQ

numeric scalar quantile.

dP

numeric scalar probability.

vTheta

numeric vector of distribution parameters. The order of the parameters is generally: location, scale, skewness, shape, shape2. When the distribution defined by Dist does not have, say, the shape parameter, this should be simply omitted. See also DistInfo for specific distributions.

Dist

character. Label of the conditional distribution, see DistInfo.

bLog

logical if TRUE, the density value $p(y)$ is given as $log(p(y))$.

vY

numeric vector of quantiles.

iN

numeric integer. vY dimension.

Value

list with elements: LRuc, LRcc, DQ, AD, AE.

Details

The function mdist_univ returns a vector with four elements: mean, variance, skewness and kurtosis coefficients. The functions Score_univ and IM_univ returns the score and the Fisher information matrix for univariate distributions. The function Score_multi reuturns the score for multivariate distributions. See DistInfo for the lists of supported distributions. These functions are not vectorized.

Examples

# Skew Student-t distribution

# log density
vTheta = c("location" = 0, "scales" = 1, "skewness" = 1.2, "shape" = 7)

ddist_univ(dY = 0.5, vTheta, "sstd", TRUE)

# probability
pdist_univ(dQ = -1.69, vTheta, "sstd")

#quantile
qdist_univ(dP = 0.05, vTheta, "sstd")

#random generator
rdist_univ(vTheta, "sstd")

#moments
mdist_univ(vTheta, "sstd")