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Robust estimation methods for the mean vector, scatter matrix, 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).
| Version: | 0.2.0 |
| Imports: | ICSNP, mvtnorm, ghyp, numDeriv, stats |
| Suggests: | ggplot2, reshape2, knitr, rmarkdown, R.rsp, testthat |
| Published: | 2023-05-01 |
| DOI: | 10.32614/CRAN.package.fitHeavyTail |
| Author: | Daniel P. Palomar [cre, aut], Rui Zhou [aut], Xiwen Wang [aut], Frédéric Pascal [ctb], Esa Ollila [ctb] |
| Maintainer: | Daniel P. Palomar <daniel.p.palomar at gmail.com> |
| BugReports: | https://github.com/convexfi/fitHeavyTail/issues |
| License: | GPL-3 |
| URL: | https://CRAN.R-project.org/package=fitHeavyTail, https://github.com/convexfi/fitHeavyTail, https://www.danielppalomar.com, https://doi.org/10.1109/TSP.2014.2348944, https://doi.org/10.1109/TSP.2015.2417513, https://doi.org/10.23919/EUSIPCO54536.2021.9616162 |
| NeedsCompilation: | no |
| Citation: | fitHeavyTail citation info |
| Materials: | README NEWS |
| CRAN checks: | fitHeavyTail results |
| Reference manual: | fitHeavyTail.pdf |
| Vignettes: |
Mean Vector and Covariance Matrix Estimation under Heavy Tails |
| Package source: | fitHeavyTail_0.2.0.tar.gz |
| Windows binaries: | r-devel: fitHeavyTail_0.2.0.zip, r-release: fitHeavyTail_0.2.0.zip, r-oldrel: fitHeavyTail_0.2.0.zip |
| macOS binaries: | r-release (arm64): fitHeavyTail_0.2.0.tgz, r-oldrel (arm64): fitHeavyTail_0.2.0.tgz, r-release (x86_64): fitHeavyTail_0.2.0.tgz, r-oldrel (x86_64): fitHeavyTail_0.2.0.tgz |
| Old sources: | fitHeavyTail archive |
| Reverse imports: | highOrderPortfolios |
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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.