Fit SPD Transformation for a Single Series

Fits a Semi-Parametric Distribution and computes PIT values. SPD combines:

• Parametric tails from the fitted univariate distribution

• Kernel-smoothed empirical distribution in the center

Usage

fit_spd_transform(
  z,
  uni_fit = NULL,
  dist_pars = NULL,
  lower_threshold = 0.1,
  upper_threshold = 0.9
)

Arguments

z

Standardized residuals for one series

uni_fit

Univariate GARCH fit object (optional, for parametric tails)

dist_pars

Distribution parameters (optional)

lower_threshold

Lower quantile for parametric tail (default 0.1)

upper_threshold

Upper quantile for parametric tail (default 0.9)

Value

List with u (uniform values) and spd_model (fitted SPD object)