Function to obtain random samples from a multivariate power exponential distribution.
rmvpowerexp(n, Location = rep(0, nrow(Scatter)),
Scatter = diag(length(Location)), Beta = 1)a matrix.
number of random samples.
Location vector of the distribution.
Scatter matrix of the distribution.
shape parameter of the distribution.
Klaus Nordhausen
The power exponential distribution is an elliptical distribution which can have light or heavy tails.
Beta = 1 yields a multivariate normal distribution, Beta = 0.5 the multivariate Laplace distribution and
with increasing Beta converges to a multivariate uniform distribution.
Oja, H. (2010), Multivariate Nonparametric Methods with R, Springer.
X1 <- rmvpowerexp(100,c(0,0,0),Beta = 0.5)
pairs(X1)
X2 <- rmvpowerexp(100,c(0,0,0),Beta = 1)
pairs(X2)
X3 <- rmvpowerexp(100,c(0,0,0),Beta = 10)
pairs(X3)
Run the code above in your browser using DataLab