Compute Probability Integral Transform (PIT)

Transforms standardized residuals to uniform [0,1] margins

Usage

compute_pit_transform(
  std_residuals,
  uni_fit_list,
  transformation = "parametric",
  copula_dist = "mvn",
  dist_pars = NULL
)

Arguments

std_residuals

Matrix of standardized residuals (T x k)

uni_fit_list

List of fitted univariate GARCH models

transformation

Type: "parametric", "empirical", or "spd"

copula_dist

Copula distribution ("mvn" or "mvt")

dist_pars

Distribution parameters

Value

Matrix of uniform margins (T x k)