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Multivariate Normal Variance Mixtures

Installation

About

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.

Citation nvmix citation info

Key Metrics

Version 0.1-1
R ≥ 3.2.0
Published 2024-03-04 217 days ago
Needs compilation? yes
License GPL (≥ 3)
License LICENCE
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Maintainer

Maintainer

Marius Hofert

Authors

Marius Hofert

aut / cre

Erik Hintz

aut

Christiane Lemieux

aut

Material

Reference manual
Package source

In Views

Finance

Vignettes

Multivariate Normal Variance Mixtures
Estimating risk measures for normal variance mixture distributions

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

nvmix archive

Depends

R ≥ 3.2.0

Imports

stats
methods
qrng
Matrix
copula
pcaPP
ADGofTest
mnormt
pracma

Suggests

RColorBrewer
lattice
qrmdata
xts
knitr
rmarkdown

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