multivariateSkewT: Multivariate Skew-t

Description Usage Arguments Details

Description

Functions defining the multivariate skew t-distribution.

Usage

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devMST(x, params, fixed.nu = NULL, symmetr = FALSE)

gradDevMST(x, params, symmetr = FALSE, fixed.nu = NULL)

paramVec2ListMST(paramVec)

paramList2VecMST(paramList)

Arguments

x

A numeric matrix of observations (one row per observation).

params

A vector, typically as created by paramList2Vec called on a list object with four elements: xi, Omega, alpha, nu.

fixed.nu

If not NULL, nu is assumed to be fixed to a particular value.

symmetr

Logical. If TRUE, the distribution is assumed to be symmetric (i.e. alpha is a zero vector).

paramVec

A vector of the parameters of the multivariate distribution.

paramList

A list with four elements: xi (a vector prodiving the center), Omega (a matrix describing the dispersion), alpha (a vector describing the skewness), and nu (a numeric providing the heaviness of the tails).

Details

The deviance function returns the deviance of all the observations with the given parameters. The gradDev function computes the gradient of this deviance. The other two functions are useful for converting parameter vectors to lists and vice versa, and thus they return the list or vector.


rockclimber112358/MCLE documentation built on May 27, 2019, 12:15 p.m.