[R-SIG-Finance] moments (and/or density) for "std" in the "rugarch"-package or "TF2" in the "gamlss.dist"-package
Johannes Moser
jzmoser at gmail.com
Fri May 2 12:42:15 CEST 2014
Dear R community,
in order to get a formula for the kurtosis of a mixture distribution
with noncentral scaled student t components I need to get some raw
moments of the components (which will then be applied to the law of
total expectation).
As I am working with the noncentral scaled student t implementations
"std" in the "rugarch"-package and "TF2" in the "gamlss.dist"-package I
would be happy to get more details about the particular implementation
of the distributions.
As to my knowledge the two mentioned implementations are equivalent.
Importantly, the scaling factor equals the standard deviation.
The particular density of the noncentral scaled student t distributions
as implemented in those packages would be helping.
And if there exist nice formulas for the (noncentral or central) moments
up to order 4 for this distribution I would be more than thankful for
any link or comment!
Best,
Johannes
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