[R] Skewed t distribution

Adelchi Azzalini azzalini at stat.unipd.it
Tue Mar 28 15:36:15 CEST 2006

On Tue, 28 Mar 2006 12:59:34 +0200, Konrad Banachewicz wrote:

KB> On 3/28/06, Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
KB> > Try maximizing the log-likelihood and using the log=TRUE
KB> > argument to dmst.
KB> seems like dmst does not support this argument (the way e.g. "dt"
KB> does)

here I get the following

R> library(sn)
Loading required package: mvtnorm
Library 'sn', version  0.3-5 (2005-12-30) , © 1998-2005 A.Azzalini
type 'help(SN)' for summary information
R> args(dmst)
function (x, xi = rep(0, d), Omega, alpha, df = Inf, log = FALSE) 

notice that 0.3-5 is the current version on CRAN

KB> > (You have told us so little about what you are doing that we can
KB> > but guess at what you mean by `write an mle procedure': what is
KB> > wrong with st.mle, for example?)
KB> st.mle assumes skewed-t marginals (for a whole distribution),
KB> whereas I am working with a copula so my margins are uniform. The
KB> whole point is separating the joint and marginal dynamics.

I am not a copula expert, but what Brian Ripley suggests makes sense 
to me; and I know of people that have used st.mle to obtain the
marginal components (which is what is needed for the copula mechanism)

Adelchi Azzalini  <azzalini at stat.unipd.it>
Dipart.Scienze Statistiche, Università di Padova, Italia
tel. +39 049 8274147,  http://azzalini.stat.unipd.it/

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