rmtin {SenTinMixt} | R Documentation |
Random number generation for the MTIN distribution
rmtin(n, mu = rep(0, d), Sigma, theta = 0.01)
n |
An integer specifying the number of data points to be simulated. |
mu |
A vector of length |
Sigma |
A symmetric positive-definite matrix representing the scale matrix of the distribution. |
theta |
A number between 0 and 1 indicating the tailedness parameter. |
A list with the following elements:
X |
A data matrix with |
w |
A vector of weights of dimension |
Punzo A., and Bagnato L. (2021). The multivariate tail-inflated normal distribution and its application in finance. Journal of Statistical Computation and Simulation, 91(1), 1-36.
d <- 3
rmtin(10, mu = rep(0, d), Sigma = diag(d), theta = 0.9)