Learn R Programming
⚠️There's a newer version (0.3-81) of this package.Take me there.

MVT (version 0.3)

Estimation and Testing for the Multivariate t-Distribution

Description

Routines to perform estimation and inference under the multivariate t-distribution. Currently, the following methodologies are implemented: multivariate mean and covariance estimation, hypothesis testing about the mean, equicorrelation and homogeneity of variances, the Wilson-Hilferty transformation, QQ-plots with envelopes and random variate generation. Some auxiliary functions are also provided.

Copy Link

Version

Install

install.packages('MVT')

Monthly Downloads

431

Version

0.3

License

GPL (>= 2)

Maintainer

Felipe Osorio

Last Published

October 10th, 2015

Functions in MVT (0.3)

examScor

Open/Closed book data
studentFit

Estimation of mean and covariance using the multivariate t-distribution
center.test

One-sample location test
companies

Financial data
fisher.info

Fisher information matrix
Weights

Distribution of the weights from a multivariate t-distribution
homogeneity.test

Test of variance homogeneity of correlated variances
wilson.hilferty

Wilson-Hilferty transformation
PFM

Returns from the Chilean Pension Funds
equicorrelation.test

Equicorrelation test
mvt.control

Set control parameters
cork

Cork borings
rmt

Multivariate-t random deviates
Student

Family object for the multivariate t-distribution
duplication

Duplication matrix
commutation

Commutation matrix for square matrices
envelope

QQ-plot with simulated envelopes
kurtosis

Mardia's multivariate kurtosis coefficient