BulkAndTails.BulkAndTailsDist
— TypeBulkAndTailsDist(κ₀,τ₀,ϕ₀,κ₁,τ₁,ϕ₁,ν) The Bulk-And-Tails (BATs) distribution has cumulative distribution function
\[F(x) = T_ν(H(x))\]
where T_ν is the student-t cdf with ν degrees of freedom and H is a monotone increasing function. ϕ₀ and ϕ₁ are location parameters for the lower and upper tails. τ₀ and τ₁ are scale parameters for the lower and upper tails. κ₀ and κ₁ are shape parameters for the lower and upper tails. Negative κ indicates a bounded tail. Positive κ indicates a heavy tail. The case κ=0, defined by continuity, indicates a thin Gaussian tail.
fitbats
provides maximum likelihood estimation for these parameters. In addition, we provide pdf
, cdf
, logpdf
, logcdf
, quantile
, and rand
functions for BulkAndTailsDist
, all of which follow the Distributions.jl
framework. We also provide R-friendly versions of these functions and show how to call them from R.
BulkAndTailsDist(κ₀,τ₀,ϕ₀,κ₁,τ₁,ϕ₁,ν) # BATs distribution
params(d) # Get the parameters
minimum(d) # lower bound of support
maximum(d) # upper bound of support
External links