[R] Multivariate Skew Normal distribution

David Scott d.scott at auckland.ac.nz
Thu Sep 1 23:54:38 CEST 2005

On Thu, 1 Sep 2005 Ted.Harding at nessie.mcc.ac.uk wrote:

> On 01-Sep-05 Caio Lucidius Naberezny Azevedo wrote:
>> Hi all,
>> Could anyone tell me if there is any package (or function) that
>> generates values from a multivariate skew normal distribution?
>> Thanks all,
>> Caio
> Hello, Caio
> Please tell us what you mean by "skew normal distribution".
> Since normal (i.e. gaussian) distributions are not skew, you
> presumably mean something different from what you said, so
> unless we understand this more clearly  it is unlikely that
> anyone can make a suggestion which would meet your needs.
Actually Ted it is perfectly clear. There are modifications of the normal 
(more than one approach) which incorporate skewness.

There is a very nice package by Azzellini called sn which deals with this 
and with the skew t.

A different version of the skew t is given in the package skewt. This is 
univariate only.

There also appear to be some skew normal and skew t tools in RMetrics (in 
FSeries and fPortfolio).

What is not clear is why Caio keeps asking the same question when I 
emailed him the name of the package yesterday.

David Scott
David Scott	Department of Statistics, Tamaki Campus
 		The University of Auckland, PB 92019
 		Auckland	NEW ZEALAND
Phone: +64 9 373 7599 ext 86830		Fax: +64 9 373 7000
Email:	d.scott at auckland.ac.nz

Graduate Officer, Department of Statistics

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