This function computes the mean of a skewed t variable.
Usage
st.mean(df = 10, sd = 1, skew = 1)
Arguments
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
The mean of skewed t variable
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.