A number of location-scale invariant distributions with full d,p,q,r methods and autodiff (TMB) backed estimation. These distributions are parameterized in terms of the mean, standard deviation, skew and shape, with the GH distribution having 2 shape parameters.
Currently implemented location-scale family distributions:
Distribution Function Parameters Notes Normal norm 2 Student std 3 GED ged 3 Skew-Normal snorm 3 Fernandez & Steel Skew-Student sstd 4 Fernandez & Steel Skew-GED sged 4 Fernandez & Steel Normal Inverse Gaussian nig 4 Barndorff-Nielsen Generalized Hyperbolic gh 5 Barndorff-Nielsen Johnson’s SU jsu 4 Johnson Generalized Hyperbolic Skew Student ghst 4 Aas & HaffA number of other distributions are also implemented or planned to be, which do not technically belong to the location-scale family but are useful in time-series and financial risk analysis.
The semi-parametric distribution (spd) models the upper and lower tails using the Generalized Pareto distribution. This leads to 1 scale and 1 shape parameters for each of the tails (4 parameters in total).
Other distributions:
Distribution Function Parameters Notes Semi Parametric Distribution spd 4 CarmonaRetroSearch is an open source project built by @garambo | Open a GitHub Issue
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