| mvst-package {mvst} | R Documentation |
Bayesian Inference for the Multivariate Skew-t Model
Description
Estimates the multivariate skew-t and nested models, as described in the articles Liseo, B., Parisi, A. (2013). Bayesian inference for the multivariate skew-normal model: a population Monte Carlo approach. Comput. Statist. Data Anal. <doi:10.1016/j.csda.2013.02.007> and in Parisi, A., Liseo, B. (2017). Objective Bayesian analysis for the multivariate skew-t model. Statistical Methods & Applications <doi: 10.1007/s10260-017-0404-0>.
Details
| Package: | mvst |
| Type: | Package |
| Title: | Bayesian Inference for the Multivariate Skew-t Model |
| Version: | 1.1.1 |
| Date: | 2023-12-05 |
| Author: | Antonio Parisi [aut, cre], Brunero Liseo [aut], Dirk Eddelbuettel [ctb], Romain Francois [ctb] |
| Maintainer: | Antonio Parisi <antonio.parisi@uniroma2.it> |
| Description: | Estimates the multivariate skew-t and nested models, as described in the articles Liseo, B., Parisi, A. (2013). Bayesian inference for the multivariate skew-normal model: a population Monte Carlo approach. Comput. Statist. Data Anal. <doi:10.1016/j.csda.2013.02.007> and in Parisi, A., Liseo, B. (2017). Objective Bayesian analysis for the multivariate skew-t model. Statistical Methods & Applications <doi: 10.1007/s10260-017-0404-0>. |
| SystemRequirements: | GNU Scientific Library |
| License: | GPL-3 |
| Imports: | MCMCpack, mvtnorm, mnormt |
Index of help topics:
MNmargLike Marginal Likelihood for the Multivariate Normal
Model.
bivPlot Marginal and joint plots for bivariate data.
cmlSE CML for the parameters of a p-variate
Skew-Elliptical model.
coef.mcSEsummary Extract mcSE Model Coefficients.
dmvSE Density function for the SE distributions.
mcSE MC sampler for a p-variate Skew-Elliptical
model.
mvst-package Bayesian Inference for the Multivariate Skew-t
Model
rmvSE Random generation from a SE distribution.
summary.mcSE Summary function for mcSE objects.
Author(s)
Antonio Parisi [aut, cre], Brunero Liseo [aut], Dirk Eddelbuettel [ctb], Romain Francois [ctb]
Maintainer: Antonio Parisi <antonio.parisi@uniroma2.it>
References
Parisi A, Liseo B (2017). Objective Bayesian Analysis for the Multivariate Skew-t Model. Statistical Methods & Applications. ISSN 1613-981X. doi:10.1007/s10260-017-0404-0 Parisi, A., Liseo, B. (2018). Statistical Inference with Skew-t Distributions: the MVST R Package. Annali del Dipartimento di Metodi e Modelli per l'Economia il Territorio e la Finanza. ISSN 2385-0825. Liseo, B., Parisi, A. (2013). Bayesian inference for the multivariate skew-normal model: a population Monte Carlo approach. Comput. Statist. Data Anal. <doi:10.1016/j.csda.2013.02.007>