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MultiStatM (version 2.1.0)

Multivariate Statistical Methods

Description

Algorithms to build set partitions and commutator matrices and their use in the construction of multivariate d-Hermite polynomials; estimation and derivation of theoretical vector moments and vector cumulants of multivariate distributions; conversion formulae for multivariate moments and cumulants. Applications to estimation and derivation of multivariate measures of skewness and kurtosis; estimation and derivation of asymptotic covariances for d-variate Hermite polynomials, multivariate moments and cumulants and measures of skewness and kurtosis. The formulae implemented are discussed in Terdik (2021, ISBN:9783030813925), "Multivariate Statistical Methods".

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Version

Install

install.packages('MultiStatM')

Monthly Downloads

263

Version

2.1.0

License

GPL-3

Maintainer

Emanuele Taufer

Last Published

January 25th, 2026

Functions in MultiStatM (2.1.0)

Moments and cumulants CFUSN

Edgeworth expansion of a multivariate density

Moments and cumulants Uniform Distribution on the Sphere

Covariance matrix for multivariate T-Hermite polynomials

Hermite Polynomials (Univariate and Multivariate)

Moments and cumulants of the multivariate Generalized Hyperbolic distribution

Commutator Index

Integrate Edgeworth density

Deprecated function

General Partition Function

Coefficients of Hermite polynomials

PartitionTypeAll

Partitions, type and number of partitions

Gram-Charlier approximation to a multivariate density

Commutator Matrix

Deprecated function

Estimation of Sample Kurtosis (Mardia, MRSz, Total)

Deprecated function

Random multivariate spherically symmetric distributions

Random Multivariate Skew Normal

Standardize multivariate data

Estimation of Sample Skewness (Mardia, MRSz)

Estimation of multivariate T-Moments and T-Cumulants

Moments and cumulants d-variate Skew Normal

Moments and cumulants Multivariate t-Student distribution

Marginal moments and cumulants from T-vectors

Moments and Cumulants of the Central Folded Normal Distribution

Estimation of multivariate Mean, Variance, T-Skewness and T-Kurtosis vectors

Qplication Matrix

SampleVarianceSkewKurt

Estimated Variance of skewness and kurtosis vectors

Symmetrizing vector

Convert moments to cumulants (univariate and multivariate)

Inverse of a Permutation

Asymptotic Variance of the estimated skewness vector

Qplication vector

Asymptotic Variance of the estimated kurtosis vector

Symmetrizer Matrix

Deprecated function

Random multivariate CFUSSD

Random multivariate CFUSN

EVSK multivariate Generalized hyperbolic

Convert cumulants to moments (univariate and multivariate)

EVSK of the Uniform distribution on the sphere or its modulus

EVSK multivariate Skew Normal

EVSK multivariate Skew-t

Multivariate tail conditional expectation

Distinct values selection vector

Inverse Hermite Polynomial

Elimination Matrix

IntGramCharlier

Integrate Gram Charlier density