gedpdf.m

经济类的实用的时间序列分析软件包

function prob = gedpdf(x,nu)
% PURPOSE:
% Evaluates the Probabiliy a vector of observations x(Nx1)
% has if drawn from a Generalzed Error Dist'n  with parameter nu
% which is the exponential power distn with variance normalized to 1
% 
% USAGE:
% prob = gedpdf(x,nu)
% 
% INPUTS:
% x = Data
% nu = Shape parameter
% 
% OUTPUTS:
% prob = PDF values form a GED 
% 
% COMMENTS:
% f(x)=Kd * exp (-|x|^nu)
% KD = inv(2 * gamma (1+(1/nu) ) )
% 
% Taken from Tadikamalla 1980
% 
% Included in the ucsd_garch toolbox and the JPL library
% Requires the JPL toolbox
% 
% Author: Kevin Sheppard
% [e-mail]
% Revision: 2    Date: 12/31/2001


beta=((2^(-2/nu))*(gamma(1/nu))/(gamma(3/nu)))^(0.5);
y=nu*exp(-0.5*(abs(x/beta).^(nu)))/(beta*gamma(1/nu)*(2^(1+1/nu)));
prob=y;