Compositional (version 3.1)

MLE for the multivarite t distribution: MLE for the multivarite t distribution

Description

MLE of the parameters of a multivarite t distribution.

Usage

multivt(y, plot = FALSE)

Arguments

y

A matrix with continuous data.

plot

If plot is TRUE the value of the maximum log-likelihood as a function of the degres of freedom is presented.

Value

A list including:

center

The location estimate.

scatter

The scatter matrix estimate.

df

The estimated degrees of freedom.

loglik

The log-likelihood value.

mesos

The classical mean vector.

covariance

The classical covariance matrix.

Details

The parameters of a multivariate t distribution are estimated. This is used by the functions comp.den and bivt.contour.

References

Nadarajah, S. and Kotz, S. (2008). Estimation methods for the multivariate t distribution. Acta Applicandae Mathematicae, 102(1):99-118.

See Also

bivt.contour, comp.den, rmvt

Examples

# NOT RUN {
x <- as.matrix(iris[, 1:4])
multivt(x)
# }