Simulate a skewed diagonal variance matrix — skew_diag

Creates a diagonal n x n variance matrix with user-defined skewness based on a gamma or inverse gamma distribution.

Usage

skew_diag_mat(n = 5, shape = 1.5, scale = 1, inverse = FALSE, mean.var = NULL)

Arguments

n: A scalar defining the dimensions of the variance matrix.
shape: A scalar defining the shape of the distribution.
scale: A scalar defining the scale of the distribution.
inverse: When TRUE (default is FALSE), the variances are sampled from the inverse gamma distribution instead of the gamma distribution.
mean.var: An optional scalar defining the mean variance. . When supplied, the variances are scaled to achieve the defined mean.

Value

A diagonal n x n variance matrix.

Examples

# Simulate a random diagonal matrix with 10 columns and rows, and negatively skewed variances
# scaled to a mean of 0.1.
diag_mat <- skew_diag_mat(
  n = 10,
  shape = 1.5,
  scale = 1,
  mean.var = 0.1
)