arch.univariate.StudentsT¶

class arch.univariate.StudentsT(random_state: RandomState  None =
None
, *, seed: None  int  RandomState  Generator =None
)[source]¶ Standardized Student’s distribution for use with ARCH models
 Parameters:¶
 random_state: RandomState  None =
None
¶ Deprecated since version 5.0: random_state is deprecated. Use seed instead.
 seed: None  int  RandomState  Generator =
None
¶ Random number generator instance or int to use. Set to ensure reproducibility. If using an int, the argument is passed to
np.random.default_rng
. If not provided,default_rng
is used with systemprovided entropy.
 random_state: RandomState  None =
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 loglikelihood 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
The NumPy Generator or RandomState attached to the distribution
The name of the distribution
The NumPy RandomState attached to the distribution