mvskew
: Multivariate skew distribution samplers
This package provides access a set of multivariate distribution samplers. Implemented multivariate distributions are:
- normal
- skew normal
- extended skew normal
- Cauchy
- skew Cauchy
- extended skew Cauchy
- Student T
- skew Student T
- extended skew T
Installation
Tha package is distributed through PyPI:
pip install mvskew
Usage
While the package contains functions to call samplers directly and a broad set
of helper functions, the main feature of the package is the class object
multivariate_samplers
, which wraps around all core functionalities provided.
An example to use it:
# Set params
xi = np.ones(10)
Omega = np.diag(np.ones(10))
alpha = np.array([3,2,1,4,5,6,8,5,2,0])
tau = -1
#Sample from a multivariate skew T5 truncated about -1
mvs = multivariate_samplers(distribution='T',disttype='skew', df=5)
mvs.sample(20,xi,Omega,alpha,tau)
References
The skew and extended skew families are described in detail in:
- Azzalini, A., in collaboration with Capitanio, A., The Skew-Normal and Related Families, IMS Monograph series, Cambridge University Press, Cambridge, UK, 2014.
- Azzalini, A. and Dalla Valle, A. The Multivariate Skew-Normal Distribution, Biometrika, Vol. 83, No. 4 (1996), pp. 715-726.