Question

我已经将样本数据（标准普尔500指数回报）拟合为T分布，现在必须计算前四个时刻。但是，我不知道如何处理它，我的代码如下：这基本上是情节，以及我如何使用rugarch。有什么方法可以快速计算方差/均值/峰度/骨骼度？谢谢

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Answer 1

我不能肯定地说，因为我不熟悉rugarch软件包，并且文档有点肤浅。但是在我看来，您已经有了它们。

dist_st2$pars["mu"]是第一时间。
dist_st2$pars["sigma"]^2应该排第二（请注意，您不必对标准偏差进行平方才能得到方差）。
dist_st2$pars["shape"]是第四名。
应该有dist_st2$pars["skew"]，它是第三个。

如何计算R中拟合T分布的矩（均值，方差，偏度，峰度）？

1 个答案: