[R] fit data with skew t distribution

tzhou1 tzhou1 at students.uiuc.edu
Sat Sep 6 18:42:41 CEST 2003

Hi, Kjetil,

Thank you very much for your help! I tried mst.fit and mst.mle. They both did 
a good job for solving my problem.


>===== Original Message From "kjetil brinchmann halvorsen" 
<kjetil at entelnet.bo> =====
>On 5 Sep 2003 at 16:20, tzhou1 wrote:
>I don't know what a skew t distribution is, but
>help.search("skew t")
>dmst(sn)                Multivariate skew-t distribution
>dst(sn)                 Skew-t Distribution
>dst2.plot(sn)           Plot of Bivariate Skew-t Density Function
>msn.affine(sn)          Affine transformation a multivariate
>                        skew-normal or skew-t variable
>mst.fit(sn)             Fitting multivariate skew-t distributions
>so you shoukd probably install package sn from CRAN.
>Kjetil Halvorsen
>> Hi,
>> Is there a function in R that I can use to fit the data with skew t
>> distribution? Speaking in detail, I first used the kernel density 
>> to fit my data, then I drew the skew t using my specified location, scale,
>> shape, and df to make it close to the kernel density. Now I want to get the
>> parameter estimations of the skew t which give me the closet density to the
>> kernel density. Which functions in R can do this? Any suggestions are
>> welcome!!
>> Thanks!
>> Tianyue
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