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nvmix (version 0.1-1)

Multivariate Normal Variance Mixtures

Description

Functions for working with (grouped) multivariate normal variance mixture distributions (evaluation of distribution functions and densities, random number generation and parameter estimation), including Student's t distribution for non-integer degrees-of-freedom as well as the grouped t distribution and copula with multiple degrees-of-freedom parameters. See for a high-level description of select functionality.

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Version

Install

install.packages('nvmix')

Monthly Downloads

260

Version

0.1-1

License

GPL (>= 3) | file LICENCE

Maintainer

Marius Hofert

Last Published

March 4th, 2024

Functions in nvmix (0.1-1)

gammamix

Functionalities for Gamma Scale Mixture Models
copula

Functionalities for Normal Variance Mixture Copulas
pgnvmix

Distribution Function of Grouped Multivariate Normal Variance Mixtures
dependencemeasures

Dependence Measures for grouped normal variance mixture copulas
numerical_experiments_data

Data Generated by the Demo 'numerical_experiments'
fitnvmix

Fitting Multivariate Normal Variance Mixtures
get_set_param

Algorithm-specific Parameters
get_set_qqplot_param

Plotting parameters for QQ Plots
dgnvmix

Density of Grouped Normal Variance Mixtures
dnvmix

Density of Multivariate Normal Variance Mixtures
qnvmix

Quantile Function of a univariate Normal Variance Mixture Distribution
qqplot_maha

QQ Plot for Multivariate Normal Variance Mixtures
skewstudent

Functionalities for the skew-t distribution and copula
rgnvmix

(Quasi-)Random Number Generator for Grouped Normal Variance Mixtures
pnvmix

Distribution Function of Multivariate Normal Variance Mixtures
rnvmix

(Quasi-)Random Number Generation for Multivariate Normal Variance Mixtures
riskmeasures

Risk measures for normal variance mixtures