nvmix

Multivariate Normal Variance Mixtures

CRAN Package

Functions for working with (grouped) multivariate normal variance mixture distributions (evaluation of distribution functions and densities, random number generation and parameter estimation), including Student's t distribution for non-integer degrees-of-freedom as well as the grouped t distribution and copula with multiple degrees-of-freedom parameters. See doi:10.18637/jss.v102.i02 for a high-level description of select functionality.


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