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| Skew Students t? http://forum.alglib.net/viewtopic.php?f=2&t=64 |
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| Author: | Doug Jenkins [ Wed Sep 22, 2010 10:55 pm ] |
| Post subject: | Skew Students t? |
I just received the question below on my blog: Quote: Do you have a function for generating a skewed Student’s t distribution? I checked everywhere for a VBA or worksheet functions to do this, but alas none exists! ‘R’ has it as do other commercial software packages, but nothing native to VBA is out there currently. Will follow in case this is undertaken as it has wide applications in many disciplines. My statistics knowledge is very rusty (to be generous) so any comments from people who know about these things? |
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| Author: | Sergey.Bochkanov [ Fri Sep 24, 2010 6:58 pm ] |
| Post subject: | Re: Skew Students t? |
I've encountered Skew Student's distribution in my daily work, but I think that general approach (inversion of CDF) might work. See http://en.wikipedia.org/wiki/Cumulative ... on#Inverse for more info. I recommend to split PDF into three parts: middle, left and right tails (where asymptotic approximation of PDF will do well). Middle can be integrated/tabulated with any integration method; tails should be integrated using knowledge about asymptotic behavior of function. |
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