rmvt {spam}

Draw From a Multivariate t-Distribution

Description

Fast ways to draw from a multivariate t-distribution the scale (covariance) matrix is sparse.

Usage

rmvt(n, Sigma, df = 1, delta = rep(0, nrow(Sigma)),
    type = c("shifted", "Kshirsagar"), ..., sigma)
rmvt.spam(n, Sigma, df = 1, delta = rep(0, nrow(Sigma)),
    type = c("shifted", "Kshirsagar"), ..., sigma)

Arguments

n

number of observations.

Sigma

scale matrix (of class spam).

df

degrees of freedom.

delta

vector of noncentrality parameters.

type

type of the noncentral multivariate t distribution.

...

arguments passed to rmvnorm.spam.

sigma

similar to Sigma. Here for portability with mvtnorm::rmvt()

Details

This function is very much like rmvt() from the package mvtnorm. We refer to the help of the afore mentioned.

Author(s)

Reinhard Furrer

References

See references in mvtnorm::rmvt().

See Also

rmvnorm.