mvdist-msnFit: Multivariate Skew Normal Parameter Estimation

Description Usage Arguments Details Examples

Description

Fitting the parameters for the multivariate skew Normal distribution.

Usage

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    msnFit(x, trace = FALSE, title = NULL, description = NULL) 

Arguments

x

a matrix with "d" columns, giving the coordinates of the point(s) where the density must be evaluated.

trace

a logical value, should the estimation be traced? By default FALSE.

title

an optional project title.

description

an option project desctiption.

Details

This is an easy to use wrapper function using default function settings for fitting the distributional parameters in the framework of the contributed package "sn" written by Adelchi Azzalini.

Starting values for the estimation have not to be provided, they are automatically created.

Examples

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## Not run: 
## Load Library:
   require(sn)
   
## msnFit - 
   # Fit Example:
   N <- 1000
   xi <- c(0, 0) 
   Omega <- diag(2); Omega[2,1] <- Omega[1,2] <- 0.5
   alpha <- c(2, -6)
   set.seed(4711)
   X <- rmsn(n=N, xi, Omega, alpha)
   ans <- msnFit(X)
   print(ans)

   # 2-D Density Plot:
   plot(hexBinning(X[,1], X[, 2], bins = 30), main="Skew Normal")
   # Add Contours:
   N <- 101
   x <- seq(min(X[, 1]), max(X[, 1]), l=N)
   y <- seq(min(X[, 2]), max(X[, 2]), l=N)        
   u <- grid2d(x, y)$x
   v <- grid2d(x, y)$y
   XY <- cbind(u, v)
   param <- ans@fit$estimate
   Z <- matrix(dmsn(XY, param[[1]][1,], param[[2]], param[[3]]), ncol=N)
   contour(x, y, Z, add=TRUE, col="green", lwd=2)
   grid(col="brown", lty=3)

## End(Not run)

Example output

Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fBasics


Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org


Rmetrics Package fMultivar
Analysing and Modeling Multivariate Financial Return Distributions
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
Loading required package: sn
Loading required package: stats4

Attaching package: 'sn'

The following object is masked from 'package:fBasics':

    vech

The following object is masked from 'package:stats':

    sd


Title:
 Skew Normal Parameter Estimation 

Call:
 msnFit(x = X)

Model:
 Skew Normal Distribution

Estimated Parameter(s):
$beta
            [,1]        [,2]
[1,] -0.07928577 -0.02726196

$Omega
          [,1]      [,2]
[1,] 0.9128343 0.4150834
[2,] 0.4150834 0.9294544

$alpha
[1]  1.809571 -5.173094


Description:
 Sun Oct  8 07:22:52 2017 by user: anon 

fMultivar documentation built on Nov. 17, 2017, 2:19 p.m.