Return the weighted margin of one of 3 elliptical distributions given a matrix of weights.
wmargin(distribution = "mvnorm", weights, mean, Sigma, shape = NA, skew = NA)One of ‘mvnorm’, ‘mvlaplace’ or ‘mvt’.
Either a vector or matrix of weights, in the latter case must be of the same row dimension as the covariance array.
Wither a vector or matrix of conditional distribution means, in the latter case must be of the same row dimension as the covariance array.
An array of covariances, usually returned by calling the ‘rcov’ method on one of the multivariate GARCH fitted objects.
The shape (d.o.f.) parameter of the multivariate student distribution.
Not currently required for the 3 distributions used.
A matrix with each row representing the conditional weighted marginal density with corresponding parameters.
This is just a convenience function to return the weighted variance and mean of the three elliptical distributions given a set of weights.