mvt.mle: MLE of the multivariate t distribution

In Rfast: A Collection of Efficient and Extremely Fast R Functions

MLE of the multivariate t distribution

Description

MLE of the multivariate t distribution.

Usage

mvt.mle(x, v = 5, tol = 1e-07)

Arguments

x	A matrix with numerical data.
v	The degrees of freedom. Must be a positive number, greater than zero.
tol	The tolerance value to terminate the EM algorithm.

Details

The location vector, scatter matrix and the value of the log-likelihood is calculated.

Value

A list including:

iters	The number of iterations required for the EM algorihm to converge.
loglik	The value of the maximised log-likelihood.
location	The location vector.
scatter	The scatter matrix.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <[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

mvnorm.mle, dmvnorm, gaussian.nb

Examples

x <- matrnorm(100, 4)
res<-mvnorm.mle(x)
res<-mvt.mle(x, v = 5)
res<-mvt.mle(x, v = 100)

Rfast documentation built on Nov. 9, 2023, 5:06 p.m.