cdfFMD {MomTrunc}

Cumulative distribution function for folded multivariate distributions

Description

It computes the cumulative distribution function on x for a folded p-variate Normal, Skew-normal (SN), Extended Skew-normal (ESN) and Student's t-distribution.

Usage

cdfFMD(x,mu,Sigma,lambda = NULL,tau = NULL,dist,nu = NULL)

Arguments

x

vector of length p where the cdf is evaluated.

mu

a numeric vector of length p representing the location parameter.

Sigma

a numeric positive definite matrix with dimension pxp representing the scale parameter.

lambda

a numeric vector of length p representing the skewness parameter for SN and ESN cases. If lambda == 0, the ESN/SN reduces to a normal (symmetric) distribution.

tau

It represents the extension parameter for the ESN distribution. If tau == 0, the ESN reduces to a SN distribution.

dist

represents the folded distribution to be computed. The values are normal, SN , ESN and t for the doubly truncated Normal, Skew-normal, Extended Skew-normal and Student's t-distribution respectively.

nu

It represents the degrees of freedom for the Student's t-distribution.

Details

Normal case by default, i.e., when dist is not provided. Univariate case is also considered, where Sigma will be the variance \sigma^2.

Value

It returns the distribution value for a single point x.

Note

Degrees of freedom must be a positive integer. If nu >= 200, Normal case is considered."

Author(s)

Christian E. Galarza <[e-mail]> and Victor H. Lachos <[e-mail]>

Maintainer: Christian E. Galarza <[e-mail]>

References

Galarza, C. E., Lin, T. I., Wang, W. L., & Lachos, V. H. (2021). On moments of folded and truncated multivariate Student-t distributions based on recurrence relations. Metrika, 84(6), 825-850 <doi:10.1007/s00184-020-00802-1>.

Galarza, C. E., Matos, L. A., Dey, D. K., & Lachos, V. H. (2022a). "On moments of folded and doubly truncated multivariate extended skew-normal distributions." Journal of Computational and Graphical Statistics, 1-11 <doi:10.1080/10618600.2021.2000869>.

Galarza, C. E., Matos, L. A., Castro, L. M., & Lachos, V. H. (2022b). Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution. Journal of Multivariate Analysis, 189, 104944 <doi:10.1016/j.jmva.2021.104944>.

See Also

momentsFMD, meanvarFMD

Examples

mu = c(0.1,0.2,0.3,0.4)
Sigma = matrix(data = c(1,0.2,0.3,0.1,0.2,1,0.4,-0.1,0.3,0.4,1,0.2,0.1,-0.1,0.2,1),
               nrow = length(mu),ncol = length(mu),byrow = TRUE)
cdfFMD(x = c(0.5,0.2,1.0,1.3),mu,Sigma,dist="normal")
cdfFMD(x = c(0.5,0.2,1.0,1.3),mu,Sigma,dist = "t",nu = 4)
cdfFMD(x = c(0.5,0.2,1.0,1.3),mu,Sigma,lambda = c(-2,0,2,1),dist = "SN")
cdfFMD(x = c(0.5,0.2,1.0,1.3),mu,Sigma,lambda = c(-2,0,2,1),tau = 1,dist = "ESN")