mvst (version 1.1.1)

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)

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)

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).

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

## 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