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 Hintz, Hofert, Lemieux (2019) for more details.


Reference manual

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0.0-5 by Marius Hofert, a month ago

Browse source code at

Authors: Marius Hofert [aut, cre] , Erik Hintz [aut] , Christiane Lemieux [aut]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 3) | file LICENCE license

Imports stats, methods, qrng, Matrix, copula, pcaPP

Suggests RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown

See at CRAN