This is a bug report for R package fGarch.  The implementation of the skew
GED distribution has the following problems:
# psged() can return values outside the range [0,1]
# qsged() is not a monotonic increasing function of its first argument

Examples:

> # psged() can return values outside the range [0,1]
>
> x <- psged(c(-1,1)*233.065168689948, 0, 1, 1.78515737364379,
1.4524444560568)
> x
[1] -7.140628e-17  1.000000e+00
> x*(1-x) >= 0
[1] FALSE FALSE
> x[2]-1
[1] 2.220446e-16


> # qsged() is not a monotonic increasing function of its first argument
>
> qsged(c(0.4,0.5))
[1] -0.3646051 -0.5941504


> sessionInfo()
R version 2.10.1 Patched (2010-02-06 r51106)
i386-pc-mingw32

locale:
[1] LC_COLLATE=English_United States.1252
[2] LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base

other attached packages:
[1] fGarch_2110.80     fBasics_2110.79    MASS_7.3-5
[4] timeSeries_2110.87 timeDate_2110.87





J. R. M. Hosking
JRMH001@gmail.com

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