fitHeavyTail

Mean and Covariance Matrix Estimation under Heavy Tails

CRAN Package

Robust estimation methods for the mean vector, scatter matrix, and 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).


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Insights

Last 30 days

This package has been downloaded 634 times in the last 30 days. This could be a paper that people cite without reading. Reaching the medium popularity echelon is no small feat! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 16 times.

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0 downloadsMar 2, 2025
0 downloadsMar 3, 2025
67 downloadsMar 4, 2025
24 downloadsMar 5, 2025
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The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 8,930 times in the last 365 days. That's a lot of interest! Someone might even write a blog post about it. The day with the most downloads was Sep 11, 2024 with 77 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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Dependencies

  • Imports4 packages
  • Suggests6 packages
  • Reverse Imports1 package