The Semi-Parametric Distribution (spd) is a piecewise distribution constructed by parametrically modelling the tails of the distribution using an appropriate distribution (in this package the Generalized Pareto is used) and the interior by kernel methods. The package implements fit, distribution (p*), density (d*), quantile (q*) and random number generation (r*). It forms a key component of the semi-parametric copula transformation method implemented in the rmgarch package for the copula-GARCH model, and is also an option for the GARCH bootstrap in the rugarch package.

The package is available to download from CRAN, and html documentation may be found on inside-r.