fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails
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), and
Zhou, Liu, Kumar, and Palomar (2019).
| Version: |
0.1.4 |
| Imports: |
ICSNP, mvtnorm, ghyp, numDeriv, stats |
| Suggests: |
knitr, ggplot2, prettydoc, reshape2, rmarkdown, R.rsp, testthat |
| Published: |
2022-05-11 |
| Author: |
Daniel P. Palomar [cre, aut],
Rui Zhou [aut],
Xiwen Wang [aut] |
| Maintainer: |
Daniel P. Palomar <daniel.p.palomar at gmail.com> |
| BugReports: |
https://github.com/dppalomar/fitHeavyTail/issues |
| License: |
GPL-3 |
| URL: |
https://CRAN.R-project.org/package=fitHeavyTail,
https://github.com/dppalomar/fitHeavyTail,
https://www.danielppalomar.com,
https://doi.org/10.1109/TSP.2014.2348944,
https://doi.org/10.1109/TSP.2015.2417513 |
| NeedsCompilation: |
no |
| Citation: |
fitHeavyTail citation info |
| Materials: |
README NEWS |
| CRAN checks: |
fitHeavyTail results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=fitHeavyTail
to link to this page.