Description Usage Arguments Details Value References See Also Examples
The probability density function for the unrestricted multivariate skew t (MST) distribution and finite mixture of MSN and MST distributions
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dat |
the data matrix giving the coordinates of the point(s) where the density is evaluated.
This is either a vector of length |
mu |
for |
sigma |
for |
delta |
for |
dof |
for |
pro |
the mixing proportions; for |
known |
a list containing the parameters of the model.
If specified, it overwrites the values of |
tmethod |
(optional) an integer indicating which method to use when computing t distribution function values.
See |
The function dmst
computes the density value of a specified unrestricted
multivariate skew t (MST) distribution.
If any model parameters are not specified, their default values are used:
mu
and delta
are zero vectors, sigma
is the identity matrix,
and dof
is 1
.
The function dfmmst
computes the density value for a specified mixture of
MST distribution. Note that dfmmst
expects at least dof
is specified.
Other missing parameters will take the default value described above.
When g=1
, dfmmst
passes the call to dmst
.
Model parameters can be passed to dmst
and dfmmst
through the argument known
or listed as individual arguments.
If both methods of input were used, the parameters specified in known
will be used.
dmst
and dfmmst
returns a numeric vector of density values
Sahu S, Dey D, Branco M (2003). A New Class of Multivariate Skew Distributions with Applications to Bayesian Regression Models. The Canadian Journal of Statistics, 31, 129-150.
Lee S, McLachlan G (2011). On the fitting of mixtures of multivariate skew t-distributions via the EM algorithm. arXiv:1109.4706 [stat.ME]
Lee, S. and McLachlan, G.J. (2014) Finite mixtures of multivariate skew t-distributions: some recent and new results. Statistics and Computing, 24, 181-202.
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dmst(c(1,2), mu=c(1,5), sigma=diag(2), delta=c(-3,1), dof=4)
obj <- list()
obj$mu <- list(c(17,19), c(5,22), c(6,10))
obj$sigma <- list(diag(2), matrix(c(2,0,0,1),2), matrix(c(3,7,7,24),2))
obj$delta <- list(c(3,1.5), c(5,10), c(2,0))
obj$dof <- c(1, 2, 3)
obj$pro <- c(0.25, 0.25, 0.5)
dfmmst(matrix(c(1,2,5,6,2,4),3,2), obj$mu, obj$sigma, obj$delta,
obj$dof, obj$pro)
dfmmst(c(1,2), known=obj)
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