mvst (version 1.1.0)

rmvSE: Random generation from a SE distribution.

Description

This function generates draws from a p-variate Skew-Elliptical distribution.

Usage

rmvSE(n, p, X=NULL, modelType, theta)

Arguments

n

number of draws.

p

dimension of the drawn vectors.

X

a design matrix.

modelType

generating distribution. Already implemented modelTypes are 'N' (Normal), 'SN' (skew-normal), 'T' (Student T), and 'ST' (skew-t).

theta

list of parameters. The list should contain elements named 'xi' (numeric), 'G' (pxp matrix), 'psi' (numeric, optional) and 'nu' (scalar, optional).

Value

A list with three elements

• y n x p matrix of the random draws from a p-variate SE distribution.

• z vector of the latent values z (NULL for symmetric models)

• v vector of the latent values v (NULL for the N and SN models)

References

Azzalini, A. and Capitanio, A. (2003) "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t distribution", JRSSB (see eq. 25).

See Also

cmlSE, mcSE.

Examples

# NOT RUN {
## Generate artificial data
pars = list(xi=c(3,5), psi=c(2,4), G=diag(2), nu=6)
values = rmvSE(n=200, p=2, modelType='ST', theta=pars)
## X contains the data matrix and the vectors z and v of latent variables:
y = values$y
z = values$z
v = values$v
# }