MLE of the multivariate t distribution
MLE of the multivariate t distribution.
mvt.mle(x, v = 5, tol = 1e-07)
x |
A matrix with numerical data. |
v |
The degrees of freedom. Must be a positive number, greater than zero. |
tol |
The tolerance value to terminate the EM algorithm. |
The location vector, scatter matrix and the value of the log-likelihood is calculated.
A list including:
iters |
The number of iterations required for the EM algorihm to converge. |
loglik |
The value of the maximised log-likelihood. |
location |
The location vector. |
scatter |
The scatter matrix. |
Michail Tsagris
R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr>.
Nadarajah S. and Kotz S. (2008). Estimation methods for the multivariate t distribution. Acta Applicandae Mathematicae, 102(1):99-118.
x <- matrnorm(100, 4) res<-mvnorm.mle(x) res<-mvt.mle(x, v = 5) res<-mvt.mle(x, v = 100)
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