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New functions (written with Victor Ryan @VictorRyan12 ) :
EllDistrDerivEst: nonparametric estimation of the
derivatives of the generator of an elliptical distribution.
EllDistrEst.adapt: adaptive nonparametric estimation
of the generator of an elliptical distribution.
estim_tilde_AMSE: estimate the component of the
asymptotic mean-square error (AMSE) of the nonparametric estimator of
the elliptical density generator that only depends on the parameter
a.
EllDistrEst now works in a vectorized way, where
a and/or h are vectors of the same length as
the grid on which the estimator is computed. Each value of
the grid is then estimated with the corresponding tuning parameters
(corresponding element of a and of
h).
New option averaging = "random" for the function
KTMatrixEst corresponding to the averaging of a random set
of entries in the off-diagonal blocks.
The output of KTMatrixEst now has colnames and
rownames set to the names if available in
blockStructure.
Fixed a bug in KTMatrixEst (whose output did not
have ones on the diagonal, contrary to the documentation).
Fixed a bug in EllDistrEst when the variance matrix
is not the identity.
Moving dependence Rmpfr from Import to
Suggest.
New dependence: Suggest: testthat.
New dependence: Import: kStatistics.
wdm instead of pcaPP for
fast computation of Kendall’s tau.Fixed a bug in EllDistrEst when mu is
not zero. (#1, thanks to Rutger van der Spek)
EllDistrEst gains two new arguments:
mpfr and precBits, that allows to use the
package Rmpfr for multiple floating point precision (needed
for dimensions larger than 250). (#2, thanks to Rutger van der
Spek)
New function KTMatrixEst for fast estimation of
Kendall’s tau matrix, potentially under structural assumptions. (#2,
thanks to Rutger van der Spek)
New dependencies: Import: Rmpfr,
pbapply. Suggest: mvtnorm.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.