A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
AbstractComputes the log density function for a multivariate skew-t distribution. Bauwens & Laurent(2005), "A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models," JBES, vol 23, pp 346-354.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 23 (2005)
Issue (Month): (July)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Tom Doan, . "LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution," Statistical Software Components RTS00107, Boston College Department of Economics.
- BAUWENS, Luc & LAURENT, Sébastien, . "A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models," CORE Discussion Papers RP -1793, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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