qst {QRMlib}R Documentation

Student's t Distribution (3 parameter)

Description

Quantiles for 3-parameter version of Student's t distribution

Usage

qst(p, df, mu=0, sigma=1, scale=FALSE)

Arguments

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

Value

quantiles for Student's t distribution

See Also

ESst

Examples

#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);

[Package QRMlib version 1.4.4 Index]