MVT: Estimation and Testing for the Multivariate t-Distribution

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Routines to perform estimation and inference under the multivariate t-distribution. Currently, the following methodologies are implemented: multivariate mean and covariance estimation, hypothesis testing about the mean, equicorrelation and homogeneity of variances, the Wilson-Hilferty transformation, QQ-plots with envelopes and random variate generation. Some auxiliary functions are also provided.

Author
Felipe Osorio
Date of publication
2015-10-11 00:12:53
Maintainer
Felipe Osorio <felipe.osorio@ucv.cl>
License
GPL (>= 2)
Version
0.3
URLs

View on CRAN

Man pages

center.test
One-sample location test
commutation
Commutation matrix for square matrices
companies
Financial data
cork
Cork borings
duplication
Duplication matrix
envelope
QQ-plot with simulated envelopes
equicorrelation.test
Equicorrelation test
examScor
Open/Closed book data
fisher.info
Fisher information matrix
homogeneity.test
Test of variance homogeneity of correlated variances
kurtosis
Mardia's multivariate kurtosis coefficient
mvt.control
Set control parameters
PFM
Returns from the Chilean Pension Funds
rmt
Multivariate-t random deviates
Student.family
Family object for the multivariate t-distribution
studentFit
Estimation of mean and covariance using the multivariate...
Weights
Distribution of the weights from a multivariate...
wilson.hilferty
Wilson-Hilferty transformation

Files in this package

MVT
MVT/inst
MVT/inst/CITATION
MVT/src
MVT/src/matrix.c
MVT/src/Makevars
MVT/src/family.h
MVT/src/family.c
MVT/src/base.h
MVT/src/random.h
MVT/src/random.c
MVT/src/fitter.c
MVT/src/optim.c
MVT/src/optim.h
MVT/src/fitter.h
MVT/src/init.c
MVT/src/matrix.h
MVT/NAMESPACE
MVT/data
MVT/data/cork.rda
MVT/data/examScor.rda
MVT/data/companies.rda
MVT/data/PFM.rda
MVT/R
MVT/R/homogeneity.test.R
MVT/R/fisher.R
MVT/R/random.R
MVT/R/family.R
MVT/R/distn.R
MVT/R/plot.R
MVT/R/control.R
MVT/R/center.test.R
MVT/R/studentFit.R
MVT/R/equicorrelation.test.R
MVT/R/kurtosis.R
MVT/R/matrix.R
MVT/MD5
MVT/DESCRIPTION
MVT/man
MVT/man/envelope.Rd
MVT/man/studentFit.Rd
MVT/man/Student.family.Rd
MVT/man/center.test.Rd
MVT/man/wilson.hilferty.Rd
MVT/man/equicorrelation.test.Rd
MVT/man/rmt.Rd
MVT/man/kurtosis.Rd
MVT/man/homogeneity.test.Rd
MVT/man/duplication.Rd
MVT/man/cork.Rd
MVT/man/PFM.Rd
MVT/man/commutation.Rd
MVT/man/fisher.info.Rd
MVT/man/companies.Rd
MVT/man/Weights.Rd
MVT/man/examScor.Rd
MVT/man/mvt.control.Rd