fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails

Robust estimation methods for the mean vector, scatter matrix, and covariance matrix (if it exists) from data (possibly containing NAs) under multivariate heavy-tailed distributions such as angular Gaussian (via Tyler's method), Cauchy, and Student's t distributions. Additionally, a factor model structure can be specified for the covariance matrix. The latest revision also includes the multivariate skewed t distribution. The package is based on the papers: Sun, Babu, and Palomar (2014); Sun, Babu, and Palomar (2015); Liu and Rubin (1995); Zhou, Liu, Kumar, and Palomar (2019); Pascal, Ollila, and Palomar (2021).

Package details

AuthorDaniel P. Palomar [cre, aut], Rui Zhou [aut], Xiwen Wang [aut], Frédéric Pascal [ctb], Esa Ollila [ctb]
MaintainerDaniel P. Palomar <daniel.p.palomar@gmail.com>
LicenseGPL-3
Version0.2.0
URL https://CRAN.R-project.org/package=fitHeavyTail  https://github.com/convexfi/fitHeavyTail  https://www.danielppalomar.com  https://doi.org/10.1109/TSP.2014.2348944  https://doi.org/10.1109/TSP.2015.2417513  https://doi.org/10.23919/EUSIPCO54536.2021.9616162 
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("fitHeavyTail")

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fitHeavyTail documentation built on May 1, 2023, 5:21 p.m.