arch.univariate.SkewStudent.starting_values

SkewStudent.starting_values(std_resid)

Construct starting values for use in optimization.

Parameters

std_resid (ndarray) – Estimated standardized residuals to use in computing starting values for the shape parameter

Returns

sv – Array containing starting valuer for shape parameter

Return type

ndarray

Notes

Uses relationship between kurtosis and degree of freedom parameter to produce a moment-based estimator for the starting values.