nigtransform

ghyptransform

Transforms parameters from standardized representation to distribution
specific representation for the nig and gh distributions.

Location-Scale based distributions parameterized in terms of mean, standard deviation, skew and shape parameters and estimation using automatic differentiation. Distributions include the Normal, Student and GED as well as their skewed variants ('Fernandez and Steel'), the 'Johnson SU', and the Generalized Hyperbolic. Also included is the semi-parametric piece wise distribution ('spd') with Pareto tails and kernel interior.

Alexios Ghalanos

tsdistributions

Location Scale Standardized Distributions

Alexios Galanos

nigtransform function

<dl><dt>mu</dt>
<dd>mean.</dd>
<dt>sigma</dt>
<dd>standard deviation.</dd>
<dt>skew</dt>
<dd>skew parameter.</dd>
<dt>shape</dt>
<dd>shape parameter.</dd>
<dt>lambda</dt>
<dd>additional shape parameter for the Generalized Hyperbolic
distribution.</dd></dl>

Arguments

Parameter Transformation — nigtransform

<dl>

<dt>mu</dt>
<dd>mean.</dd>


<dt>sigma</dt>
<dd>standard deviation.</dd>


<dt>skew</dt>
<dd>skew parameter.</dd>


<dt>shape</dt>
<dd>shape parameter.</dd>


<dt>lambda</dt>
<dd>additional shape parameter for the Generalized Hyperbolic
distribution.</dd>

</dl>

nigtransform: Parameter Transformation

Description

Usage

Value

Arguments