[R-SIG-Finance] Fit skewed-t distribution

Brian G. Peterson br|@n @end|ng |rom br@verock@com
Mon Apr 1 13:47:56 CEST 2019

On Mon, 2019-04-01 at 13:56 +0300, Данир Зулькарнаев wrote:
> Could someone suggest any package to estimates parameters of skewed-t
> distribution?
> I didn't manage to find any.

My personal favorite for the skewed Student's-t distribution family is
the 'sn' package.

There is also the 'skewt' package, but as I recall this only has
p/d/q/r functions, and does not contain a 'fit' function to fit from
existing data.

There are a couple of packages that do multivariate skew-t models as



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