COMIX (version 1.0.2)

transform_params: Convert between parameterizations of the multivariate skew normal distribution.

Description

Convert between parameterizations of the multivariate skew normal distribution.

Usage

transform_params(Sigma, alpha)

Value

A list:

• delta: a reparameterized skewness vector, a transformed version of alpha.

• omega: a diagonal matrix of the same dimensions as Sigma, the diagonal elements are the square roots of the diagonal elements of Sigma.

• psi: another reparameterized skewness vector, utilized in the sampler.

• G: a reparameterized version of Sigma, utilized in the sampler.

Arguments

Sigma

A scale matrix.

alpha

A vector for the skew parameter.

Examples

library(COMIX)
# Scale and skew parameters:
Sigma <- matrix(0.5, nrow = 4, ncol = 4) + diag(0.5, nrow = 4)
alpha <- c(0, 0, 0, 5)
transformed_parameters <- transform_params(Sigma, alpha)