Compositional (version 2.8)

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 loglikelihood 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)
# }