fitHeavyTail

cranv0.2.0

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 str

License GPL-3strong copyleft0 versions1 maintainers5 deps136 weekly dl
convexfi/fitHeavyTail
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ICSNPmvtnormghypnumDerivstats
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First published · 2023-05-01 15:33:16

Last updated · 2023-05-01T13:20:05+00:00