Weighted Distribution Margin

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Description

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

Usage

1
wmargin(distribution = "mvnorm", weights, mean, Sigma, shape = NA, skew = NA)

Arguments

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.

Details

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

Value

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

Author(s)

Alexios Ghalanos

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