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Dec 15

Implementation of Skew Normal/Student t distributions

Posted by abiao at 20:59 | Code » Code site | Comments(4) | Reads(14996)
SKEW is a Gauss library for computing pdf, cdf and inverse of the cdf and simulating random numbers for the SN, ST, MSN and MST distribution functions described in Azzalini, A. and Capitanio A.[2003], Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t distribution, JRSS B, 65, 367-389.

Check A Gauss implementation of Skew Normal/Student distributions at http://www.thierry-roncalli.com/#gauss

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