dmtin {SenTinMixt} | R Documentation |
Density of a MTIN distribution
Description
Density of a MTIN distribution
Usage
dmtin(x, mu = rep(0, d), Sigma, theta = 0.01, formula = "direct")
Arguments
x |
A data matrix with |
mu |
A vector of length |
Sigma |
A symmetric positive-definite matrix representing the scale matrix of the distribution. |
theta |
A number greater than 0 indicating the tailedness parameter. |
formula |
Method used to calculate the density: "direct", "indirect", "series". |
Value
The value(s) of the density in x
References
Punzo A., and Bagnato L. (2021). The multivariate tail-inflated normal distribution and its application in finance. Journal of Statistical Computation and Simulation, 91(1), 1-36.
Examples
d <- 3
x <- matrix(rnorm(d*2), 2, d)
dmtin(x, mu = rep(0,d), Sigma = diag(d), theta = 0.9, formula = "direct")
[Package SenTinMixt version 1.0.0 Index]