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Changes in fitHeavyTail version 0.2.0 (2023-5-1)

• New methods OPP and POP for the estimation of nu: nu_OPP_estimator() and nu_POP_estimator().

• Function fit_mvt() updated using POP as default method for nu.

• Vignette updated.

• Functions fit_Tyler() and fit_Cauchy() now recover the missing scaling factor with the improved OPP-harmonic method.

• New contributors added for OPP and POP methods: Frederic Pascal and Esa Ollila.

Changes in fitHeavyTail version 0.1.4 (2022-5-11)

• No changes. Just that CRAN required to resubmit due to some issue with package ghyp.

Changes in fitHeavyTail version 0.1.3 (2022-4-14)

• New method for skewed t distributions: fit_mvst()

• New contributor added for fit_mvst(): Xiwen Wang.

• fit_mvt() and fit_mvst(): Now the bounds for nu estimation can be set as a global option, e.g.: options(nu_min = 4.2).

• Fixed description regarding covariance matrix for Cauchy distribution.

• fit_mvt(): It accepts weights as argument to weight differently the samples (as opposed to uniform weights).

• fit_mvt(): Many more methods to estimate nu iteratively (via argument nu_iterative_method).

• fit_mvt(): New argument scale_minMSE to include a correction factor in the covariance matrix for minimum MSE (still in development).

Changes in fitHeavyTail version 0.1.2 (2020-1-7)

• Vignette revised: detailed descriptions of the algorithms included.

• Comparison with additional existing benchmark sn::selm() included in the vignette.

• Now the three fitting functions also return the number of iterations and elapsed cpu_time.

• Significant revision of the fitting function fit_mvt(); in particular:

  • the nu_target for the estimation of nu has been removed since it was not effective;
  • several new options for the initial value of nu or fixed value of nu have been included; and
  • improved and more robust estimation of nu at each EM iteration.

• Function fit_mvt() now allows the choice (via the argument na_rm) to drop the observations with NAs or impute them.

Changes in fitHeavyTail version 0.1.1 (2019-11-22)

• Initial release is on CRAN.

• It includes three functions for heavy tails fitting: fit_mvt(), fit_Tyler(), and fit_Cauchy().

• Vignette illustrates its use and comparison with existing packages.

• Tests are included.

• fit_mvt() can deal with NAs and a factor model structure on the covariance matrix.

Changes in fitHeavyTail version 0.1.0 (2017-11-04)

• Initial bare-bone implementation (not publicly released).

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.