multvardiv-package: Tools for Multivariate Probability Distributions

In multvardiv: Multivariate Probability Distributions, Statistical Divergence

Tools for Multivariate Probability Distributions

Description

This package provides tools for multivariate probability distributions:

• Multivariate generalized Gaussian distribution (MGGD)

• Multivariate Cauchy distribution (MCD)

• Multivariate t distribution (MTD)

Details

For each of these probability distributions, are provided:

• Calculation of distances/divergences between two distributions:

  • Renyi divergence, Bhattacharyya distance, Hellinger distance (for now, only available for the t distribution): diststudent

  • Kullback-Leibler divergence: kld

• Tools for these probability distributions: probability distribution function, parameter estimation, sample estimation

  • MGGD: dmggd, estparmggd, rmggd

  • MCD: dmcd, estparmcd, rmcd

  • MTD: dmtd, estparmtd, rmtd

  • Plot of the density of a distribution with 2 variables: plotmvd, contourmvd

Author(s)

Pierre Santagostini [e-mail], Nizar Bouhlel [e-mail], [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")}

N. Bouhlel, D. Rousseau, A Generic Formula and Some Special Cases for the Kullback–Leibler Divergence between Central Multivariate Cauchy Distributions. Entropy, 24, 838, July 2022. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3390/e24060838")}

N. Bouhlel and D. Rousseau (2023), Exact Rényi and Kullback-Leibler Divergences Between Multivariate t-Distributions, IEEE Signal Processing Letters. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1109/LSP.2023.3324594")}

See Also

Useful links:

• https://forgemia.inra.fr/imhorphen/multvardiv

• Report bugs at https://forgemia.inra.fr/imhorphen/multvardiv/-/issues

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