sim.slash: Simulate multivariate slash reparemetrized

In fxjulio/slash: Slash reparametrized

Description

Return a multivariate slash simulation.

Usage

sim.slash(n, mu, Sigma, eta)

Arguments

n	Number of simulates
mu	Mean vector with length p.
Sigma	Covarianze matrix with size pxp.
eta	Parameter between 0 and 1.

Details

Let v distruted beta with parameter 1/eta and 1. And Z distributed multivariate normal with mean zero and covariance matrix Sigma. We obtain a sample slash Y with Y = mu + sqrt(1-eta)/sqrt(v) Z

Value

A matrix with n rows and p .

Examples

n <- 1000
p <- 4
Y <- sim.slash( n, rep(0, p), diag(p), 1/2 )
plot(Y, asp=1)

fxjulio/slash documentation built on May 28, 2019, 8:40 p.m.