dmtin {SenTinMixt}

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 n rows and d columns, being n the number of data points and d the data the dimensionality.

mu

A vector of length d representing the mean value.

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")