MomCumSkewNorm

Computes the theoretical values of moments and cumulants up to the r-th order.
Warning: if nMu = TRUE it can be very slow

Algorithms to build set partitions and commutator matrices and their use in the
construction of multivariate d-Hermite polynomials;  estimation and derivation of theoretical  vector moments and vector
cumulants  of multivariate distributions; conversion formulae for multivariate moments and cumulants. Applications to
estimation and derivation of multivariate measures of skewness and kurtosis;  estimation and derivation of asymptotic
covariances for d-variate Hermite polynomials, multivariate moments and cumulants and measures of skewness and kurtosis.
The formulae implemented are discussed in Terdik (2021, ISBN:9783030813925), "Multivariate Statistical Methods".

Emanuele Taufer

MultiStatM

Multivariate Statistical Methods

Gyorgy Terdik

MomCumSkewNorm function

<dl><dt>r</dt>
<dd>the highest moment and cumulant order</dd>
<dt>omega</dt>
<dd>A \(d \times d\) correlation matrix</dd>
<dt>alpha</dt>
<dd>shape parameter d-vector</dd>
<dt>nMu</dt>
<dd>if it is TRUE then moments are calculated as well</dd></dl>

Arguments

Moments and cumulants d-variate Skew Normal — MomCumSkewNorm

<dl>

<dt>r</dt>
<dd>the highest moment and cumulant order</dd>


<dt>omega</dt>
<dd>A \(d \times d\) correlation matrix</dd>


<dt>alpha</dt>
<dd>shape parameter d-vector</dd>


<dt>nMu</dt>
<dd>if it is TRUE then moments are calculated as well</dd>

</dl>

MomCumSkewNorm: Moments and cumulants d-variate Skew Normal

Description

Usage

Value

Arguments

References

See Also

Examples