rmt {QRMlib}R Documentation

Multivariate t

Description

generates random sample from multivariate t

Usage

rmt(n, df=4, Sigma=equicorr(d, rho), mu=rep(0, d), d=2, rho=0.7)

Arguments

n number of realizations
df degrees of freedom
Sigma a dispersion matrix
mu a mean vector
d dimension of distribution
rho correlation value to build equicorrelation matrix

Details

function is set up to quickly simulate equicorrelation structures by specifying d and rho

Value

an n by d matrix

See Also

rmnorm, equicorr, rmghyp

Examples

Sigma <- diag(c(3,4,5)) %*% equicorr(3,0.6) %*% diag(c(3,4,5)); 
mu <- c(1,2,3); 
tdata <- rmt(1000,4,Sigma,mu); 
mod1 <- fit.mst(tdata);

[Package QRMlib version 1.4.4 Index]