statsmodels.sandbox.distributions.extras.ACSkewT_gen

class statsmodels.sandbox.distributions.extras.ACSkewT_gen

Univariate Skew-T distribution of Azzalini

class follows scipy.stats.distributions pattern but with __init__

Notes

Skewed T distribution by Azzalini, A. & Capitanio, A. (2003)_

the pdf is given by:

pdf(x) = 2.0 * t.pdf(x, df) * t.cdf(df+1, alpha*x*np.sqrt((1+df)/(x**2+df)))

with alpha >=0

Note: different from skewed t distribution by Hansen 1999

.._ Azzalini, A. & Capitanio, A. (2003), Distributions generated by perturbation of symmetry with emphasis on a multivariate skew-t distribution, appears in J.Roy.Statist.Soc, series B, vol.65, pp.367-389

Attributes:

random_state

Get or set the generator object for generating random variates.

Methods

__call__(*args, **kwds)

Freeze the distribution for the given arguments.

Methods

cdf(x, *args, **kwds)	Cumulative distribution function of the given RV.
entropy(*args, **kwds)	Differential entropy of the RV.
expect([func, args, loc, scale, lb, ub, ...])	Calculate expected value of a function with respect to the distribution by numerical integration.
fit(data, *args, **kwds)	Return estimates of shape (if applicable), location, and scale parameters from data.
fit_loc_scale(data, *args)	Estimate loc and scale parameters from data using 1st and 2nd moments.
freeze(*args, **kwds)	Freeze the distribution for the given arguments.
interval(alpha, *args, **kwds)	Confidence interval with equal areas around the median.
isf(q, *args, **kwds)	Inverse survival function (inverse of sf) at q of the given RV.
logcdf(x, *args, **kwds)	Log of the cumulative distribution function at x of the given RV.
logpdf(x, *args, **kwds)	Log of the probability density function at x of the given RV.
logsf(x, *args, **kwds)	Log of the survival function of the given RV.
mean(*args, **kwds)	Mean of the distribution.
median(*args, **kwds)	Median of the distribution.
moment(n, *args, **kwds)	n-th order non-central moment of distribution.
nnlf(theta, x)	Negative loglikelihood function.
pdf(x, *args, **kwds)	Probability density function at x of the given RV.
ppf(q, *args, **kwds)	Percent point function (inverse of cdf) at q of the given RV.
rvs(*args, **kwds)	Random variates of given type.
sf(x, *args, **kwds)	Survival function (1 - cdf) at x of the given RV.
stats(*args, **kwds)	Some statistics of the given RV.
std(*args, **kwds)	Standard deviation of the distribution.
support(*args, **kwargs)	Support of the distribution.
var(*args, **kwds)	Variance of the distribution.

Properties

random_state

Get or set the generator object for generating random variates.