Robust estimation methods for the mean vector, scatter matrix, and covariance matrix (if it exists) from data (possibly containing NAs) under multivariate heavy-tailed distributions such as angular Gaussian (via Tyler's method), Cauchy, and Student's t distributions. Additionally, a factor model structure can be specified for the covariance matrix. The latest revision also includes the multivariate skewed t distribution. The package is based on the papers: Sun, Babu, and Palomar (2014); Sun, Babu, and Palomar (2015); Liu and Rubin (1995); Zhou, Liu, Kumar, and Palomar (2019); Pascal, Ollila, and Palomar (2021).
Version: 0.2.0 Imports: ICSNP, mvtnorm, ghyp, numDeriv, stats Suggests: ggplot2, reshape2, knitr, rmarkdown, R.rsp, testthat Published: 2023-05-01 DOI: 10.32614/CRAN.package.fitHeavyTail Author: Daniel P. Palomar [cre, aut], Rui Zhou [aut], Xiwen Wang [aut], Frédéric Pascal [ctb], Esa Ollila [ctb] Maintainer: Daniel P. Palomar <daniel.p.palomar at gmail.com> BugReports: https://github.com/convexfi/fitHeavyTail/issues License: GPL-3 URL: https://CRAN.R-project.org/package=fitHeavyTail, https://github.com/convexfi/fitHeavyTail, https://www.danielppalomar.com, https://doi.org/10.1109/TSP.2014.2348944, https://doi.org/10.1109/TSP.2015.2417513, https://doi.org/10.23919/EUSIPCO54536.2021.9616162 NeedsCompilation: no Citation: fitHeavyTail citation info Materials: README, NEWS CRAN checks: fitHeavyTail results Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=fitHeavyTail to link to this page.
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