Fast ways to draw from a multivariate t-distribution the scale (covariance) matrix
is sparse.
Usage
rmvt(n, Sigma, df = 1, delta = rep(0, nrow(Sigma)),
type = c("shifted", "Kshirsagar"), ..., sigma)
rmvt.spam(n, Sigma, df = 1, delta = rep(0, nrow(Sigma)),
type = c("shifted", "Kshirsagar"), ..., sigma)
Arguments
- n
number of observations.
- Sigma
scale matrix (of class spam).
- df
degrees of freedom.
- delta
vector of noncentrality parameters.
- type
type of the noncentral multivariate t distribution.
- ...
arguments passed to rmvnorm.spam.
- sigma
similar to Sigma. Here for portability with mvtnorm::rmvt()
Details
This function is very much like rmvt() from the package
mvtnorm. We refer to the help of the afore mentioned.
References
See references in mvtnorm::rmvt().