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DESCRIPTION
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DESCRIPTION
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Package: fitHeavyTail
Title: Mean and Covariance Matrix Estimation under Heavy Tails
Version: 0.2.0.9000
Date: 2023-5-1
Description: Robust estimation methods for the mean vector, scatter matrix,
and covariance matrix (if it exists) from data (possibly containing NAs)
under multivariate heavy-tailed distributions such as angular Gaussian
(via Tyler's method), Cauchy, and Student's t distributions. Additionally,
a factor model structure can be specified for the covariance matrix. The
latest revision also includes the multivariate skewed t distribution.
The package is based on the papers: Sun, Babu, and Palomar (2014);
Sun, Babu, and Palomar (2015); Liu and Rubin (1995);
Zhou, Liu, Kumar, and Palomar (2019); Pascal, Ollila, and Palomar (2021).
Authors@R: c(
person(c("Daniel", "P."), "Palomar", role = c("cre", "aut"), email = "daniel.p.palomar@gmail.com"),
person("Rui", "Zhou", role = "aut", email = "rzhouae@connect.ust.hk"),
person("Xiwen", "Wang", role = "aut", email = "xwangew@connect.ust.hk"),
person("Frédéric", "Pascal", role = "ctb", email = "frederic.pascal@centralesupelec.fr"),
person("Esa", "Ollila", role = "ctb", email = "esa.ollila@aalto.fi")
)
Maintainer: Daniel P. Palomar <daniel.p.palomar@gmail.com>
URL: https://CRAN.R-project.org/package=fitHeavyTail,
https://github.com/convexfi/fitHeavyTail,
https://www.danielppalomar.com,
https://doi.org/10.1 109/TSP.2014.2348944,
https://doi.org/10.1109/TSP.2015.2417513,
https://doi.org/10.23919/EUSIPCO54536.2021.9616162
BugReports: https://github.com/convexfi/fitHeavyTail/issues
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.2.1
Depends:
Imports:
ICSNP,
mvtnorm,
ghyp,
numDeriv,
stats
Suggests:
ggplot2,
reshape2,
knitr,
rmarkdown,
R.rsp,
testthat
VignetteBuilder:
knitr,
rmarkdown,
R.rsp