Multivariate Skew Normal distribution

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