Return the weighted margin of one of 3 elliptical distributions given a matrix of weights.

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`distribution` |
One of ‘mvnorm’, ‘mvlaplace’ or ‘mvt’. |

`weights` |
Either a vector or matrix of weights, in the latter case must be of the same row dimension as the covariance array. |

`mean` |
Wither a vector or matrix of conditional distribution means, in the latter case must be of the same row dimension as the covariance array. |

`Sigma` |
An array of covariances, usually returned by calling the ‘rcov’ method on one of the multivariate GARCH fitted objects. |

`shape` |
The shape (d.o.f.) parameter of the multivariate student distribution. |

`skew` |
Not currently required for the 3 distributions used. |

This is just a convenience function to return the weighted variance and mean of the three elliptical distributions given a set of weights.

A matrix with each row representing the conditional weighted marginal density with corresponding parameters.

Alexios Ghalanos

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