Cumulants and distribution of a skew-normal variate after conditioning
Usage
msn_conditional(xi, Omega, alpha, fixed.comp, fixed.values)
Arguments
xi
|
a numeric vector of length k , say, giving the location parameter.
|
Omega
|
a covariance matrix of dimension (k,k) .
|
alpha
|
a numeric vector of length k , which regulates the shape of the density.
|
fixed_comp
|
a vector containing a subset of 1:k which selects the components
whose values are to be fixed; it must be of length k-2 .
|
fixed_values
|
a numeric vector of values taken on by the components fixed_comp ;
it must be of the same length of fixed_comp .
|
Description
Finds cumulants up to 3rd order of a multivariate skew-normal
distribution conditionally on the values taken on by some of
its components, and finds a multivariate skew-normal distribution
with the same cumulants.Details
See the reference below for details and background.Value
a list containing the following elements:
cumulants
|
a list containing mean vector, variance matrix, and indices of
skewness of the conditional distribution.
|
fit
|
a list containing the parameters of the fitted skew-normal
distribution in the (xi,Omega,alpha) parametrization, plus
the vector delta .
|
References
Azzalini, A. and Capitanio, A. (1999).
Statistical applications of the multivariate skew-normal distribution.
J.Roy.Statist.Soc. B
61, part 3.See Also
plot_msn_cond
Examples
Omega = eye(3)+0.5.*ones(3,3)
a = msn_conditional(zeros(1,3), Omega, [1:3], 3, -0.75)