R: Affine transformations and marginals of a skew-elliptical...
affineTransSECdistr
R Documentation
Affine transformations and marginals of a skew-elliptical distribution
Description
Compute the distribution of a (multivariate) marginal or the distribution
of an affine transformation a + A'Y of a multivariate
variable Y with skew-elliptical (SEC) distribution.
Usage
affineTransSECdistr(object, a, A, name, compNames, drop=TRUE)
marginalSECdistr(object, comp, name, drop=TRUE)
Arguments
object
an object of class SECdistrMv, as created by
makeSECdistr or by a previous call to these functions
a
a numeric vector with the length ncol(A).
A
a full-rank matrix with nrow(A) equal to the dimensionality
of object.
name
an optional character string representing the name of the
outcome distribution; if missing, one such string is constructed.
compNames
an optional vector of length ncol(A) of character
strings with the names of the components of the outcome distribution;
if missing, one such vector is constructed.
drop
a logical flag (default value: TRUE), operating only if
the returned object is has dimension 1, in which case it indicates
whether this object must be of class SECdistrUv.
comp
a vector formed by a subset of 1:d which indicates which
components must be extracted from object, on denoting by d
its dimensionality.
Value
If object defines the distribution of a SEC random
variable Y, affineTransSECdistr computes the
distribution of a+A'Y and marginalSECdistr computes the marginal
distribution of the comp components. In both cases the returned
object is of class SECdistrMv, except when drop=TRUE
operates, leading to an object of class SECdistrUv.
Background
These functions implement formulae given in Sections
5.1.4, 5.1.6 and 6.2.2 of the reference below.
References
Azzalini, A. with the collaboration of Capitanio, A. (2014).
The Skew-Normal and Related Families.
Cambridge University Press, IMS Monographs series.