rob.sk {ccgarch}R Documentation

Computing standard and robustified skewness

Description

This function computes standard and robustified skewness measures of a vector or a matrix of variables.

Usage

    rob.sk(x)

Arguments

x vector or matrix of variables

Value

Vector of skewness and robustified skewness

References

Kim, T-H. and H. White (2004), “On More Robust Estimation of Skewness and Kurtosis”, Finance Research Letters, 1, 56-73.

See Also

rob.kr, ljung.box.test, jb.test

Examples

x <- matrix(rnorm(1000), 100, 10)
rob.sk(x)

[Package ccgarch version 0.1.1 Index]