> -----Original Message----- > From: r-help-bounces at stat.math.ethz.ch > [mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of Caio Lucidius > Naberezny Azevedo > Sent: 01 September 2005 12:09 > To: Help mailing list - R > Subject: [R] Multivariate Skew Normal distribution > > > Hi all, > > Could anyone tell me if there is any package (or function) > that generates values from a multivariate skew normal distribution? > > Thanks all, > > CaioTry RSiteSearch("multivariate normal skew") I tried and 39 messages turned up. R.
Caio Lucidius Naberezny Azevedo
2005-Sep-01 13:09 UTC
[R] Multivariate Skew Normal distribution
Hi all, Could anyone tell me if there is any package (or function) that generates values from a multivariate skew normal distribution? Thanks all, Caio __________________________________________________ [[alternative HTML version deleted]]
On 01-Sep-05 Caio Lucidius Naberezny Azevedo wrote:> Hi all, > > Could anyone tell me if there is any package (or function) that > generates values from a multivariate skew normal distribution? > > Thanks all, > > CaioHello, Caio Please tell us what you mean by "skew normal distribution". Since normal (i.e. gaussian) distributions are not skew, you presumably mean something different from what you said, so unless we understand this more clearly it is unlikely that anyone can make a suggestion which would meet your needs. With best wishes, Ted. -------------------------------------------------------------------- E-Mail: (Ted Harding) <Ted.Harding at nessie.mcc.ac.uk> Fax-to-email: +44 (0)870 094 0861 Date: 01-Sep-05 Time: 15:02:37 ------------------------------ XFMail ------------------------------
Kjetil Brinchmann Halvorsen
2005-Sep-01 21:39 UTC
[R] Multivariate Skew Normal distribution
(Ted Harding) wrote:>On 01-Sep-05 Caio Lucidius Naberezny Azevedo wrote: > > >>Hi all, >> >>Could anyone tell me if there is any package (or function) that >>generates values from a multivariate skew normal distribution? >> >>Thanks all, >> >>Caio >> >> > >Hello, Caio > >Please tell us what you mean by "skew normal distribution". > >Since normal (i.e. gaussian) distributions are not skew, you > >Well, but then somebody (Azzalini?) coined the term skew-normal, which you can read about at http://azzalini.stat.unipd.it//SN or simply do library(help=sn) # after installing from CRAN. This family is obtained by skewing a normal family, hence the name. You can also skew a t -family or whatever other symmetric family you like. I found this usefull for modelling. Kjetil>presumably mean something different from what you said, so >unless we understand this more clearly it is unlikely that >anyone can make a suggestion which would meet your needs. > >With best wishes, >Ted. > > >-------------------------------------------------------------------- >E-Mail: (Ted Harding) <Ted.Harding at nessie.mcc.ac.uk> >Fax-to-email: +44 (0)870 094 0861 >Date: 01-Sep-05 Time: 15:02:37 >------------------------------ XFMail ------------------------------ > >______________________________________________ >R-help at stat.math.ethz.ch mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > > > > >-- Kjetil Halvorsen. Peace is the most effective weapon of mass construction. -- Mahdi Elmandjra -- Internal Virus Database is out-of-date. Checked by AVG Anti-Virus.
On Thu, 1 Sep 2005 Ted.Harding at nessie.mcc.ac.uk wrote:> On 01-Sep-05 Caio Lucidius Naberezny Azevedo wrote: >> Hi all, >> >> Could anyone tell me if there is any package (or function) that >> generates values from a multivariate skew normal distribution? >> >> Thanks all, >> >> Caio > > Hello, Caio > > Please tell us what you mean by "skew normal distribution". > > Since normal (i.e. gaussian) distributions are not skew, you > presumably mean something different from what you said, so > unless we understand this more clearly it is unlikely that > anyone can make a suggestion which would meet your needs. >Actually Ted it is perfectly clear. There are modifications of the normal (more than one approach) which incorporate skewness. There is a very nice package by Azzellini called sn which deals with this and with the skew t. A different version of the skew t is given in the package skewt. This is univariate only. There also appear to be some skew normal and skew t tools in RMetrics (in FSeries and fPortfolio). What is not clear is why Caio keeps asking the same question when I emailed him the name of the package yesterday. David Scott _________________________________________________________________ David Scott Department of Statistics, Tamaki Campus The University of Auckland, PB 92019 Auckland NEW ZEALAND Phone: +64 9 373 7599 ext 86830 Fax: +64 9 373 7000 Email: d.scott at auckland.ac.nz Graduate Officer, Department of Statistics
On Thu, 1 Sep 2005 13:09:00 +0000 (GMT), Caio Lucidius Naberezny Azevedo wrote: CLNA> CLNA> Could anyone tell me if there is any package (or function) that CLNA> generates values from a multivariate skew normal distribution? try the following library(sn) location <- c(20,4) # e.g. for a two-dimensional variable dispers <- matrix(c(3,-2,-2,2), 2,2) skew <- c(10,-6) rmsn(n=10, xi=location, Omega=dispers, alpha=skew) # for skew-normal data rmst(n=10, xi=location, Omega=dispers, alpha=skew, df=5) # for skew-t data see also help(rsn) and help(rst) for the univariate case for more information, see also (as already pointed out in the list): http://azzalini.stat.unipd.it/SN best wishes, Adelchi Azzalini -- Adelchi Azzalini <azzalini at stat.unipd.it> Dipart.Scienze Statistiche, Universit?? di Padova, Italia tel. +39 049 8274147, http://azzalini.stat.unipd.it/