| wmargin {rmgarch} | R Documentation |
Weighted Distribution Margin
Description
Return the weighted margin of one of 3 elliptical distributions given a matrix of weights.
Usage
wmargin(distribution = "mvnorm", weights, mean, Sigma, shape = NA, skew = NA)
Arguments
distribution |
One of ‘mvnorm’, ‘mvlaplace’ or ‘mvt’. |
weights |
Either a vector or matrix of weights, in the latter case must be of the same row dimension as the covariance array. |
mean |
Wither a vector or matrix of conditional distribution means, in the latter case must be of the same row dimension as the covariance array. |
Sigma |
An array of covariances, usually returned by calling the ‘rcov’ method on one of the multivariate GARCH fitted objects. |
shape |
The shape (d.o.f.) parameter of the multivariate student distribution. |
skew |
Not currently required for the 3 distributions used. |
Details
This is just a convenience function to return the weighted variance and mean of the three elliptical distributions given a set of weights.
Value
A matrix with each row representing the conditional weighted marginal density with corresponding parameters.
Author(s)
Alexios Galanos