estparmtd {multvardiv} | R Documentation |
Estimation of the Parameters of a Multivariate t
Distribution
Description
Estimation of the degrees of freedom, mean vector and correlation matrix of a multivariate t
distribution (MTD).
Usage
estparmtd(x, eps = 1e-6, display = FALSE, plot = display)
Arguments
x |
numeric matrix or data frame. |
eps |
numeric. Precision for the estimation of the parameters. |
display |
logical. When |
plot |
logical. When |
Details
The EM method is used to estimate the parameters.
Value
A list of 3 elements:
-
nu
non-negative numeric value. The degrees of freedom. -
mu
the mean vector. -
Sigma
: symmetric positive-definite matrix. The correlation matrix.
with two attributes attr(, "epsilon")
(precision of the result) and attr(, "k")
(number of iterations).
Author(s)
Pierre Santagostini, Nizar Bouhlel
References
Doğru, F., Bulut, Y. M. and Arslan, O. (2018). Doubly reweighted estimators for the parameters of the multivariate t-distribution. Communications in Statistics - Theory and Methods. 47. doi:10.1080/03610926.2018.1445861.
See Also
dmtd
: probability density of a MTD
rmtd
: random generation from a MTD.
Examples
nu <- 3
mu <- c(0, 1, 4)
Sigma <- matrix(c(1, 0.6, 0.2, 0.6, 1, 0.3, 0.2, 0.3, 1), nrow = 3)
x <- rmtd(100, nu, mu, Sigma)
# Estimation of the parameters
estparmggd(x)