SN distribution:
dsn, psn, qsn,
rsn, cp.to.dp, dp.to.cp,
sn.mle, sn.em,for the univariate case, and
dmsn, pmsn, rmsn,
msn.fit, msn.mle, dsn2.plot
for the multivariate case.
ST distribution:
dst, pst, rst, st.mle,for the univariate case,
and dmst,pmst, rmst,
mst.fit, mst.mle, dst2.plot
for the multivariate case.
It is suggested that a user starts by reading the documentation of (some of) these.
library(mvtnorm); these are:
pmsn, pmst, pst,print(.sn.version).
The most recent version of the library can be obtained from
the WWW page: For versions up to 0.20, the following people and institutions
have contributed. Many thanks go to Antonella Capitanio for testing
the procedures, and to Brian Ripley and Martin Maechler for useful
advice on R. The function num.deriv is based on a similar
function written by Monica Chiogna.
This software and part of the associated theoretical work has been developed
while the author was at the Nuffield College, Oxford, under the Jemolo
Fellowship scheme; the generous support of the college is gratefully
acknowledged.
Additional support for the development of the theoretical research work has
been provided by the "Consiglio Nazionale delle Ricerche" of Italy, grant
no.97.01331.CT10.
Versions 0.21 to 0.30 have been supported by "MIUR", Italy, under grant scheme PRIN 2000. Again, thanks to Antonella Capitanio for additional testing of the new version of the library.
Azzalini, A. (1986). Further results on a class of distributions which includes the normal ones. Statistica 46,199--208.
Azzalini, A. and Dalla Valle, A. (1996). The multivariate skew-normal distribution. Biometrika 83, 715--726.
Azzalini, A. and Capitanio, A. (1999). Statistical applications of the multivariate skew-normal distribution. J.Roy.Statist.Soc. B 61, 579--602.
Azzalini, A. and Capitanio, A. (2002). Distributions generated by perturbation of symmetry with emphasis on a multivariate skew-t distribution. Submitted to J.Roy. Statist. Soc.