SampleMomCum {MultiStatM} | R Documentation |
Estimation of multivariate T-Moments and T-Cumulants
Description
Provides estimates of univariate and multivariate moments and cumulants up to order r. By default data are standardized; using only demeaned or raw data is also possible.
Usage
SampleMomCum(X, r, centering = FALSE, scaling = TRUE)
Arguments
X |
d-vector data |
r |
The highest moment order (r >2) |
centering |
set to T (and scaling = F) if only centering is needed |
scaling |
set to T (and centering=F) if standardization of multivariate data is needed |
Value
estMu.r
: the list of the multivariate moments up to order r
estCum.r
: the list of the multivariate cumulants up to order r
References
Gy.Terdik, Multivariate statistical methods - going beyond the linear, Springer 2021.
See Also
Other Estimation:
SampleEVSK()
,
SampleKurt()
,
SampleSkew()
,
VarianceKurt()
,
VarianceSkew()
Examples
## generate random data from a 3-variate skew normal distribution
alpha<-c(10,5,0)
omega<-diag(3)
x<-rSkewNorm(50,omega,alpha)
## estimate the first three moments and cumulants from raw (uncentered and unstandardized) data
SampleMomCum(x,3,centering=FALSE,scaling=FALSE)
## estimate the first three moments and cumulants from standardized data
SampleMomCum(x,3,centering=FALSE,scaling=TRUE)
[Package MultiStatM version 2.0.0 Index]