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 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 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