dmvt.mixt, rmvt.mixt {ks}R Documentation

Multivariate t mixture distribution

Description

Random generation and density values from multivariate t mixture distribution.

Usage

rmvt.mixt(n=100, mus=c(0,0), Sigmas=diag(2), dfs=7, props=1)
dmvt.mixt(x, mus, Sigmas, dfs, props)

Arguments

n number of random variates
x matrix of quantiles
mus (stacked) matrix of location vectors
Sigmas (stacked) matrix of dispersion matrices
dfs vector of degrees of freedom
props vector of mixing proportions

Details

rmvt.mixt and dmvt.mixt are based on the rmvt and dmvt functions from the mvtnorm library.

The formula for a d-variate t density with location vector mu, dispersion matrix Sigma and df degrees of freedom is

gamma((df+d)/2) / ((df*pi)^(d/2) * gamma(df/2)* det(Sigma)^(1/2) * (1 + 1/df * (x-mu)^T * Sigma^(-1) (x-mu))^(-(d+df)/2).

Value

Multivariate t mixture random vectors and density values.

See Also

rmvnorm.mixt, dmvnorm.mixt

Examples

mus <- rbind(c(-3/2,0), c(3/2,0))
Sigmas <- rbind(diag(c(1/16, 1)), rbind(c(1/16, 1/18), c(1/18, 1/16)))
props <- c(2/3, 1/3)
dfs <- c(7,3)
x <- rmvt.mixt(1000, mus, Sigmas, dfs, props)
dens <- dmvt.mixt(x, mus, Sigmas, dfs, props)

[Package ks version 1.6.2 Index]