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nvmix

Multivariate Normal Variance Mixtures

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 Hintz, Hofert, Lemieux (2019) <arXiv:1911.03017> for more details.

Functions (15)

copula

Functionalities for Normal Variance Mixture Copulas

dependencemeasures

Dependence Measures for grouped normal variance mixture copulas

dgnvmix

Density of Grouped Normal Variance Mixtures

dnvmix

Density of Multivariate Normal Variance Mixtures

fitnvmix

Fitting Multivariate Normal Variance Mixtures

gammamix

Functionalities for Gamma Scale Mixture Models

get_set_param

Algorithm-specific Parameters

numerical_experiments_data

Data Generated by the Demo 'numerical_experiments'

pgnvmix

Distribution Function of Grouped and Generalized Multivariate Normal Variance Mixtures

pnvmix

Distribution Function of Multivariate Normal Variance Mixtures

qnvmix

Quantile Function of a univariate Normal Variance Mixture Distribution

qqplot_maha

QQ Plot for Multivariate Normal Variance Mixtures

rgnvmix

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

riskmeasures

Risk measures for normal variance mixtures

rnvmix

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

nvmix

Multivariate Normal Variance Mixtures

v0.0-5
GPL (>= 3) | file LICENCE
Authors
Marius Hofert [aut, cre], Erik Hintz [aut], Christiane Lemieux [aut]
Initial release

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