fitHeavyTail (0.1.2)

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Mean and Covariance Matrix Estimation under Heavy Tails.

Robust estimation methods for the mean vector and covariance matrix from data (possibly containing NAs) under multivariate heavy-tailed distributions such as angular Gaussian (via Tyler's method), Cauchy, and Student's t. Additionally, a factor model structure can be specified for the covariance matrix. The package is based on the papers: Sun, Babu, and Palomar (2014), Sun, Babu, and Palomar (2015), Liu and Rubin (1995), and Zhou, Liu, Kumar, and Palomar (2019).

Maintainer: Daniel P. Palomar
Author(s): Daniel P. Palomar [cre, aut], Rui Zhou [aut]

License: GPL-3

Uses: ICSNP, mvtnorm, R.rsp, ggplot2, testthat, reshape2, knitr, rmarkdown, prettydoc

Released 12 days ago.

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