multivt: MLE for the multivariate t distribution

In Compositional: Compositional Data Analysis

MLE for the multivariate t distribution

Description

MLE of the parameters of a multivariate t distribution.

Usage

multivt(y, plot = FALSE)

Arguments

y	A matrix with continuous data.
plot	If plot is TRUE the value of the maximum log-likelihood as a function of the degres of freedom is presented.

Details

The parameters of a multivariate t distribution are estimated. This is used by the functions comp.den and bivt.contour.

Value

A list including:

center	The location estimate.
scatter	The scatter matrix estimate.
df	The estimated degrees of freedom.
loglik	The log-likelihood value.
mesos	The classical mean vector.
covariance	The classical covariance matrix.

Author(s)

Michail Tsagris.

R implementation and documentation: Michail Tsagris [e-mail] and Giorgos Athineou <[e-mail]>.

References

Nadarajah, S. and Kotz, S. (2008). Estimation methods for the multivariate t distribution. Acta Applicandae Mathematicae, 102(1):99-118.

See Also

bivt.contour, comp.den

Examples

x <- as.matrix(iris[, 1:4])
multivt(x)

Compositional documentation built on Oct. 9, 2024, 5:10 p.m.