MixSAL (version 1.0)

rsal: Simulate from a Multivariate SAL Distribution

Description

Generates data from a multivariate shifted asymmetric Laplace (SAL) distributions.

Usage

rsal(n, p, alpha, sig, mu)

Arguments

n

The number of observations required.

p

The dimension of the data.

alpha

A vector specifying the direction of skewness in each variable.

sig

A matrix specifying the covariance matrix of the variables.

mu

A vector specifiying the mean vector.

Value

An n by p matrix where each row corresponds to one observation from the specified multivariate SAL distribution.

References

Franczak et. al (2014). Mixtures of Shifted Asymmetric Laplace Distributions. IEEE Transactions on Pattern Analysis and Machine Intelligence, 38(6), 1149-1157.

Kotz et. al (2001). The Laplace Distribution and Generalizations: A Revisit with Applications to Communications. Economics, Engineering, and Finance. 1st Edition, Burkhauser.

Examples

# NOT RUN {
x <- rsal(n=500,p=2,alpha=c(2,2),sig=diag(2),mu=c(0,0)) 
plot(x)
# }