arch.univariate.StudentsT

class arch.univariate.StudentsT(random_state=None)[source]

Standardized Student’s 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 standardized (to have unit variance) Student’s t 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