LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution
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 InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00107.
Programming language: RATS
Requires: RATS 7.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Bauwens, Luc & Laurent, Sebastien, 2005. "A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 346-354, July.
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