GarchInnovationDistribution Enumeration

Enumerates the possible distributions for the innovations process in a GARCH model.

Definition

Namespace: Numerics.NET.Statistics.TimeSeriesAnalysis
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.4
C# 
public enum GarchInnovationDistribution

Members

Normal0 The innovations follow a standard normal distribution.
StudentT1 The innovations follow a student-t distribution where the degrees of freedom of the distribution is estimated along with the other parameters in the model.
StudentTWithFixedDegreesOfFreedom2 The innovations follow a student-t distribution where the degrees of freedom has a fixed value.

See Also