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.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("nvmix")

0.0-5 by Marius Hofert, a month ago


Browse source code at https://github.com/cran/nvmix


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