MultiStatM (version 2.0.0)

SampleMomCum: Estimation of multivariate T-Moments and T-Cumulants

Description

Provides estimates of univariate and multivariate moments and cumulants up to order r. By default data are standardized; using only demeaned or raw data is also possible.

Usage

SampleMomCum(X, r, centering = FALSE, scaling = TRUE)

Value

estMu.r: the list of the multivariate moments up to order r

estCum.r: the list of the multivariate cumulants up to order r

Arguments

X

d-vector data

r

The highest moment order (r >2)

centering

set to T (and scaling = F) if only centering is needed

scaling

set to T (and centering=F) if standardization of multivariate data is needed

References

Gy.Terdik, Multivariate statistical methods - going beyond the linear, Springer 2021.

See Also

Other Estimation: SampleEVSK(), SampleKurt(), SampleSkew(), VarianceKurt(), VarianceSkew()

Examples

## generate random data from a 3-variate skew normal distribution
alpha<-c(10,5,0)
omega<-diag(3)
x<-rSkewNorm(50,omega,alpha)
## estimate the first three moments and cumulants from raw (uncentered and unstandardized) data
SampleMomCum(x,3,centering=FALSE,scaling=FALSE)
## estimate the first three moments and cumulants from standardized data
SampleMomCum(x,3,centering=FALSE,scaling=TRUE)