[R] Multivariate Skew Normal distribution

Adelchi Azzalini azzalini at stat.unipd.it
Mon Sep 5 14:56:10 CEST 2005

On Thu, 1 Sep 2005 13:09:00 +0000 (GMT), Caio Lucidius Naberezny
Azevedo wrote:

CLNA>  Could anyone tell me if there is any package (or function) that
CLNA>  generates values from a multivariate skew normal distribution?

try the following

location <- c(20,4) # e.g. for a two-dimensional variable
dispers  <- matrix(c(3,-2,-2,2), 2,2)
skew <- c(10,-6)
rmsn(n=10, xi=location, Omega=dispers, alpha=skew) # for skew-normal data
rmst(n=10, xi=location, Omega=dispers, alpha=skew, df=5) # for skew-t data

see also help(rsn) and help(rst) for the univariate case

for more information, see also (as already pointed out in the list):

best wishes,
Adelchi Azzalini

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

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