arch.univariate.GeneralizedError

class arch.univariate.GeneralizedError(random_state=None)

Generalized Error distribution for use with ARCH models

Methods

bounds(resids)	Parameter bounds for use in optimization.
cdf(resids[, parameters])	Cumulative distribution function
constraints()	Construct arrays to use in constrained optimization.
loglikelihood(parameters, resids, sigma2[, ...])	Computes the log-likelihood of assuming residuals are have a Generalized Error Distribution, conditional on the variance.
moment(n[, parameters])	Moment of order n
parameter_names()	Names of distribution shape parameters
partial_moment(n[, z, parameters])	Order n lower partial moment from -inf to z
ppf(pits[, parameters])	Inverse cumulative density function (ICDF)
simulate(parameters)	Simulates i.i.d.
starting_values(std_resid)	Construct starting values for use in optimization.

Properties

name	The name of the distribution
random_state	The NumPy RandomState attached to the distribution