Multivariate.Skewed
RiskAMP Random Distribution Functions
Using this function in Excel:
=Multivariate.Skewed(Range of Values, Correlation, Mean, Std.Dev., Skewness, Excess Kurtosis)
Function arguments:
| Range of Values | Range comprising the multivariate distribution |
| Correlation | Correlation matrix |
| Mean | Mean |
| Std.Dev. | Standard deviation |
| Skewness | Skewness |
| Excess Kurtosis | Excess Kurtosis |
This function is a four-parameter version of the normal distribution, allowing you to specify all four moments of the distribution. You can use this function to skew or change the peakedness of the distribution.
If you omit the Skewness and Excess Kurtosis parameters (or set them to 0),
the function is the equivalent Multivariate.Normal.
Note that this function takes the excess kurtosis (i.e. a normal distribution has excess kurtosis of zero).
This is a multivariate distribution function. See the page Multivariate Distribution for more information on the Range and Correlation parameters.