msn.conditional {sn} | R Documentation |
Finds cumulants up to 3rd order of a multivariate skew-normal distribution conditionally on the values taken on by some of its components, and finds a multivariate skew-normal distribution with the same cumulants.
msn.conditional(xi, Omega, alpha, fixed.comp, fixed.values) msn.conditional(dp=, fixed.comp, fixed.values)
xi |
a numeric vector of length d , say, giving the location parameter.
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Omega |
a covariance matrix of dimension (d,d) .
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alpha |
a numeric vector of length d , which regulates the shape of the density.
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fixed.comp |
a vector containing a subset of 1:d which selects the components
whose values are to be fixed; it must be of length d-2 .
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fixed.values |
a numeric vector of values taken on by the components fixed.comp ;
it must be of the same length of fixed.comp .
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dp |
a list containing the components xi , Omega ,
alpha , contaning quantities as described above
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See the reference below for details and background.
A list containing the following elements:
cumulants |
a list containing mean vector, variance matrix, and indices of skewness of the conditional distribution. |
fit |
a list containing the parameters of the fitted skew-normal
distribution in the (xi,Omega,alpha) parametrization, plus
the vector delta .
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Azzalini, A. and Capitanio, A. (1999). Statistical applications of the multivariate skew-normal distribution. J.Roy.Statist.Soc. B 61, 579–602.
Omega <- diag(3)+0.5*outer(rep(1,3),rep(1,3)) a<- msn.conditional(rep(0,3), Omega, 1:3, 3, -0.75)