forum.alglib.net

ALGLIB forum
It is currently Sun Dec 22, 2024 10:35 am

All times are UTC


Forum rules


1. This forum can be used for discussion of both ALGLIB-related and general numerical analysis questions
2. This forum is English-only - postings in other languages will be removed.



Post new topic Reply to topic  [ 2 posts ] 
Author Message
 Post subject: Skew Students t?
PostPosted: Wed Sep 22, 2010 10:55 pm 
Offline

Joined: Sun May 16, 2010 11:42 pm
Posts: 63
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?

_________________
Doug Jenkins
http://newtonexcelbach.wordpress.com/


Top
 Profile  
 
 Post subject: Re: Skew Students t?
PostPosted: Fri Sep 24, 2010 6:58 pm 
Offline
Site Admin

Joined: Fri May 07, 2010 7:06 am
Posts: 927
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.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 2 posts ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 3 guests


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group