dmtin: Density of a MTIN distribution

In SenTinMixt: Parsimonious Mixtures of MSEN and MTIN Distributions

Description

Density of a MTIN distribution

Usage

dmtin(x, mu = rep(0, d), Sigma, theta = 0.01, formula = "direct")

Arguments

x	A data matrix with n rows and d columns, being n the number of data points and d the data the dimensionality.
mu	A vector of length d representing the mean value.
Sigma	A symmetric positive-definite matrix representing the scale matrix of the distribution.
theta	A number greater than 0 indicating the tailedness parameter.
formula	Method used to calculate the density: "direct", "indirect", "series".

Value

The value(s) of the density in x

References

Punzo A., and Bagnato L. (2021). The multivariate tail-inflated normal distribution and its application in finance. Journal of Statistical Computation and Simulation, 91(1), 1-36.

Examples

d <- 3
x <- matrix(rnorm(d*2), 2, d)
dmtin(x, mu = rep(0,d), Sigma = diag(d), theta = 0.9, formula = "direct")

SenTinMixt documentation built on Oct. 20, 2021, 9:07 a.m.