[R] Multivariate skew-t cdf

From: Konrad Banachewicz <konrad.banachewicz_at_gmail.com>
Date: Fri 02 Jun 2006 - 19:22:11 EST


Dear All,
I am using the pmst function from the sn package (version 0.4-0). After inserting the example from the help page, I get non-trivial answers, so everything is fine. However, when I try to extend it to higher dimension: xi <- alpha <- x <- rep(0,27)
Omega <- diag(0,27)
p1 <- pmst(x, xi, Omega, alpha, df = 5)

I get the following result:

>p1

[1] 0
attr(,"error")
[1] 1
attr(,"status")
[1] "oversize"

So it seems like the dimension is a problem here (and not the syntax or type mismatch, as I inititally thought - the function is evaluated) - although I found no warning about it in the help page.

Can anyone give me a hint as to how to work around this problem and evaluate the skew-t cdf in a large-dimensional space? It's pretty crucial to my current research. Thanks in advance,

Konrad

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