# mvdist-msnFit: Multivariate Skew Normal Parameter Estimation In fMultivar: Rmetrics - Analysing and Modeling Multivariate Financial Return Distributions

## Description

Fitting the parameters for the multivariate skew Normal distribution.

## Usage

 1 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

 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 ## 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

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

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.