fitHeavyTail
Mean and Covariance Matrix Estimation under Heavy Tails
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).
- Version0.2.0
- R versionunknown
- LicenseGPL-3
- Needs compilation?No
- fitHeavyTail citation info
- Last release05/01/2023
Documentation
Team
Daniel P. Palomar
Esa Ollila
Show author detailsRolesContributorRui Zhou
Show author detailsRolesAuthorXiwen Wang
Show author detailsRolesAuthorFrédéric Pascal
Show author detailsRolesContributor
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