Probability of a Student-t move at least this far from 0

For the Student-t distribution scaled to a variance of 1, as in garch_fit(): the probability of a value as low as z when z is negative, or as high as z when it is positive.

Usage

tail_probability(z, nu)

Arguments

z

Numeric vector of moves in standard deviations.

nu

Degrees of freedom, above 2.

Value

A numeric vector of probabilities.

Examples

golemcrypto:::tail_probability(c(-4, 2), nu = 4)
#> [1] 0.002406339 0.023710328