rmgarch (version 1.2-9)

wmargin: Weighted Distribution Margin

Description

Return the weighted margin of one of 3 elliptical distributions given a matrix of weights.

Usage

wmargin(distribution = "mvnorm", weights, mean, Sigma, shape = NA, skew = NA)

Arguments

distribution

One of mvnorm, mvlaplace or mvt.

weights

Either a vector or matrix of weights, in the latter case must be of the same row dimension as the covariance array.

mean

Wither a vector or matrix of conditional distribution means, in the latter case must be of the same row dimension as the covariance array.

Sigma

An array of covariances, usually returned by calling the rcov method on one of the multivariate GARCH fitted objects.

shape

The shape (d.o.f.) parameter of the multivariate student distribution.

skew

Not currently required for the 3 distributions used.

Value

• A matrix with each row representing the conditional weighted marginal density with corresponding parameters.

Details

This is just a convenience function to return the weighted variance and mean of the three elliptical distributions given a set of weights.