nvmix: Multivariate Normal Variance Mixtures (original) (raw)
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: | 0.1-2 |
|---|---|
| Depends: | R (≥ 3.2.0) |
| Imports: | stats, methods, qrng, Matrix, copula, pcaPP, ADGofTest, mnormt, pracma |
| Suggests: | RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown, qrmtools, rugarch, quadprog, mvtnorm, sensitivity, microbenchmark, QRM, zoo |
| Published: | 2025-09-10 |
| DOI: | 10.32614/CRAN.package.nvmix |
| Author: | Marius Hofert [aut, cre], Erik Hintz [aut], Christiane Lemieux [aut] |
| Maintainer: | Marius Hofert |
| License: | GPL (≥ 3) | file |
| NeedsCompilation: | yes |
| Citation: | nvmix citation info |
| In views: | Distributions, Finance |
| CRAN checks: | nvmix results |
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