Fit_Skewt {MatSkew}

Matrix Skew t Parameter Estimation

Description

Performs paramter estimation for the matrix variate skew-t distribution using an ECM algorithm.

Usage

Fit_Skewt(X, Tol = 0.001, max_iter = 1000)

Arguments

X

A list of matrices of the same size

Tol

The tolerance of the ECM algorithm. Defaults to 0.001

max_iter

The maximum number of iterations. Defaults to 1000

Value

Returns a list with elements M (the estimate of the location), A (the estimate of the skewness), nu (the estimate of the degrees of freedom), Sigma (the estimate of Sigma), Psi (the estimate of Psi), loglik (a vector of log likelihood values), flag (returns TRUE if a numerical issue occured, FALSE otherwise).

Examples

data(SimX)
Fit_st<-Fit_Skewt(SimX)