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nvmix: Multivariate Normal Variance Mixtures

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.

Version: 0.1-1
Depends: R (≥ 3.2.0)
Imports: stats, methods, qrng, Matrix, copula, pcaPP, ADGofTest, mnormt, pracma
Suggests: RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown
Published: 2024-03-04
DOI: 10.32614/CRAN.package.nvmix
Author: Marius Hofert [aut, cre], Erik Hintz [aut], Christiane Lemieux [aut]
Maintainer: Marius Hofert <mhofert at hku.hk>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
Citation: nvmix citation info
In views: Finance
CRAN checks: nvmix results

Documentation:

Reference manual: nvmix.pdf
Vignettes: Multivariate Normal Variance Mixtures
Estimating risk measures for normal variance mixture distributions

Downloads:

Package source: nvmix_0.1-1.tar.gz
Windows binaries: r-devel: nvmix_0.1-1.zip, r-release: nvmix_0.1-1.zip, r-oldrel: nvmix_0.1-1.zip
macOS binaries: r-release (arm64): nvmix_0.1-1.tgz, r-oldrel (arm64): nvmix_0.1-1.tgz, r-release (x86_64): nvmix_0.1-1.tgz, r-oldrel (x86_64): nvmix_0.1-1.tgz
Old sources: nvmix archive

Reverse dependencies:

Reverse suggests: gnn

Linking:

Please use the canonical form https://CRAN.R-project.org/package=nvmix to link to this page.

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.