rmt {QRMlib} | R Documentation |
generates random sample from multivariate t
rmt(n, df=4, Sigma=equicorr(d, rho), mu=rep(0, d), d=2, rho=0.7)
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 |
function is set up to quickly simulate equicorrelation structures by specifying d and rho
an n by d matrix
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);