[R] Skewed t distribution

[Adelchi Azzalini]

On Tue, 28 Mar 2006 11:41:19 +0200, Konrad Banachewicz wrote:

please supply the ingredients needed to reproduce the problem that
you have faced (including the values of the parameters mu,P,alpha,nu,
among the rest)

best wishes,

Adelchi Azzalini


KB> Dear All,
KB> I am working with skewed-t copula in my research recently, so I
KB> needed to write an mle
KB> procedure instead of using a standard fit one; I stick to the sn
KB> package. On subsamples of the entire population that I deal with,
KB> everything is fine. However, on the total sample (difference in
KB> cross-sectional dimension: 30 vs 240) things go wrong - the
KB> objective function diverges to infinity. I located the "rotten"
KB> line to be
KB> 
KB> t1 <- dmst(vector, mu, P, alpha, nu)
KB> 
KB> where "vector" is the matrix row, on which I evaluate my
KB> likelihood and the rest in parametrized in a standard
KB> way, just as the help pages give it. In large dimensions, I get a
KB> zero value of the density (which is probably due to numerical
KB> issues). I tried the following dummy example
KB> 
KB> t1 <- rmst(1,mu,P,alpha, nu)
KB> t2 <- dmst(t1, mu, alpha,nu)
KB> 
KB> and t2 remains to be zero. Can anyone help me on this one?
KB> 
KB> thanks in advance,
KB> Konrad
KB> 
KB> --
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