miscF (version 0.1-4)

rmvst: Generate Random Samples from a Multivariate Skew t Distribution

Description

Generate random samples from a multivariate skew t distribution.

Usage

rmvst(n, D, Mu, Sigma, nu)

Arguments

n

number of samples.

D

parameter \(D\) of the distribution.

Mu

parameter \(\mu\) of the distribution.

Sigma

parameter \(\Sigma\) of the distribution.

nu

parameter \(\nu\) of the distribution.

Value

Random samples from the multivariate skew t distribution.

Details

This function generates random samples using the methods in Sahu et al. 2003.

References

Sahu, Sujit K., Dipak K. Dey, and Marcia D. Branco. (2003) A new class of multivariate skew distributions with applications to Bayesian regression models. Canadian Journal of Statistics vol. 31, no. 2 129-150.

Examples

# NOT RUN {
  Mu <- rep(0, 2)
  Sigma <- diag(c(1,1))
  D <- diag(c(1,1))
  nu <- 5
  Y <- rmvst(n=100, D, Mu, Sigma, nu)
# }