LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes 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.

Language: RATS
Requires: RATS 7.00
Keywords: Multivariate; skew-t; density (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/logmvskewt.src (text/plain)

Related works:
Journal Article: A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00107

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