qst {QRMlib} | R Documentation |
Quantiles for 3-parameter version of Student's t distribution
qst(p, df, mu=0, sigma=1, scale=FALSE)
p |
vector of probabilities |
df |
vector of degrees of freedom |
mu |
vector of location parameters |
sigma |
vector of scale parameters |
scale |
whether distribution should be scaled so that mu and sigma are mean and standard deviation; default is FALSE |
quantiles for Student's t distribution
#Set up the quantile probabilities p <- c(0.90,0.95,0.975,0.99,0.995,0.999,0.9999,0.99999,0.999999); sigma <- 0.2*10000/sqrt(250); #Now look at VaR for student t with 4 degrees of freedom: VaR.t4 <- qst(p,4,sigma=sigma,scale=TRUE);