estparmcd: Estimation of the Parameters of a Multivariate Cauchy...

In multvardiv: Multivariate Probability Distributions, Statistical Divergence

Estimation of the Parameters of a Multivariate Cauchy Distribution

Description

Estimation of the mean vector and correlation matrix of a multivariate Cauchy distribution (MCD).

Usage

estparmcd(x, eps = 1e-6)

Arguments

x	numeric matrix or data frame.
eps	numeric. Precision for the estimation of the parameters.

Details

The EM method is used to estimate the parameters.

Value

A list of 2 elements:

• mu the mean vector.

• Sigma: symmetric positive-definite matrix. The correlation matrix.

with two attributes attr(, "epsilon") (precision of the result) and attr(, "k") (number of iterations).

Author(s)

Pierre Santagostini, Nizar Bouhlel

References

Doğru, F., Bulut, Y. M. and Arslan, O. (2018). Doubly reweighted estimators for the parameters of the multivariate t-distribution. Communications in Statistics - Theory and Methods. 47. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/03610926.2018.1445861")}.

See Also

dmcd: probability density of a MTD

rmcd: random generation from a MTD.

Examples

mu <- c(0, 1, 4)
Sigma <- matrix(c(1, 0.6, 0.2, 0.6, 1, 0.3, 0.2, 0.3, 1), nrow = 3)
x <- rmcd(100, mu, Sigma)

# Estimation of the parameters
estparmcd(x)

multvardiv documentation built on April 3, 2025, 6:08 p.m.