mvcauchy.mle

MLE of the multivariate Cauchy distribution.

MLE of the multivariate Cauchy distribution

The Cauchy distribution is a special case of the t distribution when the degrees of freedom are equal to 1. The functions are related to the multivariate Cauchy distribution and include simulation, computation of the density, maximum likelihood estimation, contour plot of the bivariate Cauchy distribution, and discriminant analysis. References include: Nadarajah S. and Kotz S. (2008). "Estimation methods for the multivariate t distribution". Acta Applicandae Mathematicae, 102(1): 99--118. <doi:10.1007/s10440-008-9212-8>, and Kanti V. Mardia, John T. Kent and John M. Bibby (1979). "Multivariate analysis", ISBN:978-0124712522. Academic Press, London.

Michail Tsagris

mvcauchy

Multivariate Cauchy Distribution

Christos Adam

MLE of the multivariate Cauchy distribution function

<dl><dt>x</dt>
<dd>A matrix with numerical data.</dd><dt>tol</dt>
<dd>The tolerance value to terminate the EM algorithm.</dd></dl>

Arguments

Michail Tsagris.
R implementation and documentation: Michail Tsagris <a href="/link/mtsagris%40uoc.gr?package=mvcauchy&version=1.0" data-mini-rdoc="mvcauchy::mtsagris@uoc.gr">mtsagris@uoc.gr</a>.

Author

MLE of the multivariate Cauchy distribution — MLE of the multivariate Cauchy distribution

<dl>

<dt>x</dt>
<dd>A matrix with numerical data.</dd>

<dt>tol</dt>
<dd>The tolerance value to terminate the EM algorithm.</dd>

</dl>

Michail Tsagris.
R implementation and documentation: Michail Tsagris <a href='mailto:mtsagris@uoc.gr'>mtsagris@uoc.gr</a>.

MLE of the multivariate Cauchy distribution: MLE of the multivariate Cauchy distribution

Description

Usage

Value

Arguments

Author

Details

References

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Examples