Compositional: multivt – R documentation

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multivt

MLE for the multivarite t distribution

MLE of the parameters of a multivarite t distribution.

multivt(y, plot = FALSE)

`y`	A matrix with continuous data.
`plot`	If plot is TRUE the value of the maximum log-likelihood as a function of the degres of freedom is presented.

The parameters of a multivariate t distribution are estimated. This is used by the functions comp.den and bivt.contour.

A list including:

`center`	The location estimate.
`scatter`	The scatter matrix estimate.
`df`	The estimated degrees of freedom.
`loglik`	The log-likelihood value.
`mesos`	The classical mean vector.
`covariance`	The classical covariance matrix.

Michail Tsagris

R implementation and documentation: Michail Tsagris mtsagris@uoc.gr and Giorgos Athineou <gioathineou@gmail.com>

Nadarajah, S. and Kotz, S. (2008). Estimation methods for the multivariate t distribution. Acta Applicandae Mathematicae, 102(1):99-118.

x <- as.matrix(iris[, 1:4])
multivt(x)

Compositional Data Analysis

v4.6

GPL (>= 2)

Authors

Michail Tsagris [aut, cre], Giorgos Athineou [aut], Abdulaziz Alenazi [ctb]

Initial release

2021-04-27