mvskew: Multivariate skew distribution samplers

This package provides access a set of multivariate distribution samplers. Implemented multivariate distributions are:

• normal
• skew normal
• extended skew normal
• Cauchy
• skew Cauchy
• extended skew Cauchy
• Student T
• skew Student T
• extended skew T

Installation

Tha package is distributed through PyPI:

pip install mvskew 

Usage

While the package contains functions to call samplers directly and a broad set of helper functions, the main feature of the package is the class object multivariate_samplers, which wraps around all core functionalities provided. An example to use it:

# Set params 
xi = np.ones(10)
Omega = np.diag(np.ones(10))
alpha = np.array([3,2,1,4,5,6,8,5,2,0])
tau = -1
#Sample from a multivariate skew T5 truncated about -1
mvs = multivariate_samplers(distribution='T',disttype='skew', df=5)
mvs.sample(20,xi,Omega,alpha,tau)

References

The skew and extended skew families are described in detail in:

1. Azzalini, A., in collaboration with Capitanio, A., The Skew-Normal and Related Families, IMS Monograph series, Cambridge University Press, Cambridge, UK, 2014.
2. Azzalini, A. and Dalla Valle, A. The Multivariate Skew-Normal Distribution, Biometrika, Vol. 83, No. 4 (1996), pp. 715-726.