betategarch (version 2.0)

rst: Random number generator for the skewed t distribution

Description

Random number generation from a skewed t distribution based on the Fernandez and Steel (1998) skewing method.

Usage

rst(n, df = 10, sd = 1, skew = 1)

Arguments

n

integer, the number of observations

df

degrees of freedom, greater than 0 and less than Inf

sd

scale, greater than 0 and less than Inf

skew

skewness, greater than 0 and less than Inf. Symmetry obtains when skew = 1 (default).

Value

• a numeric vector with n random numbers

Details

Empty

References

Fernandez and Steel (1998), 'On Bayesian Modeling of Fat Tails and Skewness', Journal of the American Statistical Association 93, pp. 359-371. Harvey and Sucarrat (2012), 'EGARCH models with fat tails, skewness and leverage', Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.

See Also

tegarch.sim, tegarch.sim2, dst

Examples

##generate 1000 random numbers from the skewed t:
set.seed(123)
eps <- rst(1000, df=5) #symmetric t
eps <- rst(1000, df=5, skew=0.8) #skewed to the left
eps <- rst(1000, df=5, skew=2) #skewed to the right