msn.fit {sn} | R Documentation |
Fits a multivariate skew-normal (MSN) distribution to data, or fits a linear regression model with multivariate skew-normal errors, using maximum likelihood estimation. The outcome is then displayed in graphical form.
msn.fit(X, y, freq, plot.it=TRUE, trace=FALSE, ... )
y |
a matrix or a vector. If y is a matrix, its rows refer to
observations, and its columns to components of the multivariate
distribution. If y is a vector, it is converted to a one-column
matrix, and a scalar skew-normal distribution is fitted.
|
X |
a matrix of covariate values.
If missing, a one-column matrix of 1's is created; otherwise,
it must have the same number of rows of y .
|
freq |
a vector of weights.
If missing, a one-column matrix of 1's is created; otherwise
it must have the same number of rows of y .
|
plot.it |
logical value which controls the graphical output (default=TRUE); see below for description. |
trace |
logical value which controls printing of the algorithm convergence.
If trace=TRUE , details are printed. Default value is FALSE .
|
... |
additional parameters passed to msn.mle ; in practice, the
start , the algorithm and the control parameters
can be passed.
|
For computing the maximum likelihood estimates, msn.fit
invokes msn.mle
which does the actual computational work;
then, msn.fit
displays the results in graphical form.
The documentation of msn.mle
gives details of the numerical
procedure for maximum likelihood estimation.
Although the function accepts a vector y
as input, the use of
sn.mle
is recommended in the scalar case.
A list containing the following components:
call |
a string containing the calling statement. |
dp |
a list containing the direct parameters beta , Omega , alpha .
Here, beta is a matrix of regression coefficients with
dim(beta)=c(nrow(X),ncol(y)) , Omega is a covariance matrix of
order ncol(y) , alpha is a vector of shape parameters of length
ncol(y) .
|
logL |
log-likelihood evaluated at dp .
|
se |
a list containing the components beta , alpha , info .
Here, beta and alpha are the standard errors for the
corresponding point estimates;
info is the observed information matrix for the working parameter,
as explained below.
|
algorithm |
see the documentation of msn.mle for its explanation
|
test.normality |
a list of with elements test and p.value , which are the value
of the likelihood ratio test statistic for normality (i.e. test that
all components of the shape parameter are 0), and the corresponding
p-value.
|
Graphical output is produced if (plot.it \& missing(freq))=TRUE
and
a suitable device is active. Three plots are produced, and the programs
pauses between each two of them, waiting for the <Enter> key to be pressed.
The first plot uses the variable y
if X
is missing, otherwise
it uses the residuals from the regression.
The form of this plot depends on the value of k=ncol(y)
;
if k=1
, an histogram is plotted with the fitted distribution
superimposed. If k>1
, a matrix of scatterplots is produced, with
superimposed the corresponding bivariate densities of the fitted
distribution.
The second plot has two panels, each representing a QQ-plot of Mahalanobis distances. The first of these refers to the fitting of a multivariate normal distribution, a standard statistical procedure; the second panel gives the corresponding QQ-plot of suitable Mahalanobis distances for the multivariate skew-normal fit.
The third plot is similar to the previous one, except that PP-plots are produced.
The multivariate skew-normal distribution is discussed by
Azzalini and Dalla Valle (1996); the (Omega,alpha)
parametrization
adopted here is the one of Azzalini and Capitanio (1999).
This function may be removed in future versions of the package, and (some of) its functionality transferred somewhere else
Azzalini, A. and Dalla Valle, A. (1996). The multivariate skew-normal distribution. Biometrika 83, 715–726.
Azzalini, A. and Capitanio, A. (1999). Statistical applications of the multivariate skew-normal distribution. J.Roy.Statist.Soc. B 61, 579–602.
data(ais, package="sn") attach(ais) # a simple-sample case b <- msn.fit(y=cbind(Ht,Wt)) # # a regression case: a <- msn.fit(X=cbind(1,Ht,Wt), y=bmi, control=list(x.tol=1e-6)) # # refine the previous outcome a1 <- msn.fit(X=cbind(1,Ht,Wt), y=bmi, control=list(x.tol=1e-9), start=a$dp)