mggd-package: Tools for Multivariate Generalized Gaussian Distributions

In mggd: Multivariate Generalised Gaussian Distribution; Kullback-Leibler Divergence

Tools for Multivariate Generalized Gaussian Distributions

Description

This package provides tools for multivariate generalized Gaussian distributions (MGGD):

• Calculation of distances/divergences between multivariate generalized Gaussian distributions:

  • Kullback-Leibler divergence: kldggd

• Tools for MGGD:

  • Probability density: mvdggd

  • Estimation of the parameters: estparmvggd

  • Simulation from a MGGD: mvrggd

  • Plot of the density of a MGGD with 2 variables: plotmvggd, contourmvggd

Author(s)

Pierre Santagostini [e-mail], Nizar Bouhlel [e-mail]

References

N. Bouhlel, A. Dziri, Kullback-Leibler Divergence Between Multivariate Generalized Gaussian Distributions. IEEE Signal Processing Letters, vol. 26 no. 7, July 2019. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1109/LSP.2019.2915000")}

E. Gomez, M. Gomez-Villegas, H. Marin. A Multivariate Generalization of the Power Exponential Family of Distribution. Commun. Statist. 1998, Theory Methods, col. 27, no. 23, p 589-600. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/03610929808832115")}

F. Pascal, L. Bombrun, J.Y. Tourneret, Y. Berthoumieu. Parameter Estimation For Multivariate Generalized Gaussian Distribution. IEEE Trans. Signal Processing, vol. 61 no. 23, p. 5960-5971, Dec. 2013. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1109/TSP.2013.2282909")}

mggd documentation built on March 31, 2023, 9:56 p.m.