cmlSE: CML for the parameters of a p-variate Skew-Elliptical model.

In mvst: Bayesian Inference for the Multivariate Skew-t Model

Description

Complete Maximum Likelihood for the parameters of a p-variate Skew-Elliptical model.

Usage

cmlSE(modelType, y, z=NULL, v=NULL, X=NULL)

Arguments

modelType	character indicating the model. Possible values are "N", "SN", "T", "ST"
y	data matrix.
z	(optional) numeric vector.
v	(optional) numeric vector.
X	(optional) design matrix.

Value

Given the value of the latent variables z and v, the function returns a list containing the estimates for the required model. Where available, a design matrix with the value of the covariates can be provided. In this case, the parameters of a regression model with skewed errors are estimated.

References

Parisi, A. and Liseo, B. (2017) "Objective Bayesian Analysis for the Multivariate Skew-t Model" Statistical Methods & Applications

See Also

mcSE, rmvSE.

Examples

## Generate artificial data
pars = list(xi=c(3,5), psi=c(2,4), G=diag(2), nu=6)
values = rmvSE(n=20, p=2, modelType='ST', theta=pars)
## CML estimates for pars
thetaHat = cmlSE(modelType='ST', y=values$y, z=values$z, v=values$v)

mvst documentation built on May 2, 2019, 1:46 p.m.