Package: fitHeavyTail 0.2.0.9000

Daniel P. Palomar

fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails

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:Daniel P. Palomar [cre, aut], Rui Zhou [aut], Xiwen Wang [aut], Frédéric Pascal [ctb], Esa Ollila [ctb]

fitHeavyTail_0.2.0.9000.tar.gz
fitHeavyTail_0.2.0.9000.zip(r-4.7)fitHeavyTail_0.2.0.9000.zip(r-4.6)fitHeavyTail_0.2.0.9000.zip(r-4.5)
fitHeavyTail_0.2.0.9000.tgz(r-4.6-any)fitHeavyTail_0.2.0.9000.tgz(r-4.5-any)
fitHeavyTail_0.2.0.9000.tar.gz(r-4.7-any)fitHeavyTail_0.2.0.9000.tar.gz(r-4.6-any)
fitHeavyTail_0.2.0.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
fitHeavyTail/json (API)

# Install 'fitHeavyTail' in R:
install.packages('fitHeavyTail', repos = c('https://convexfi.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/convexfi/fitheavytail/issues

On CRAN:

Conda:

cauchycovariance-estimationcovariance-matrixheavy-tailed-distributionsoutliersrobust-estimationstudent-ttyler

6.41 score 22 stars 1 packages 39 scripts 650 downloads 6 exports 15 dependencies

Last updated from:f0d576e60d. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK195
source / vignettesOK220
linux-release-x86_64OK187
macos-release-arm64OK218
macos-oldrel-arm64OK223
windows-develOK191
windows-releaseOK156
windows-oldrelOK165
wasm-releaseOK138

Exports:fit_Cauchyfit_mvstfit_mvtfit_Tylernu_OPP_estimatornu_POP_estimator

Dependencies:DBIghypICSICSNPlatticeMASSMatrixminqamitoolsmvtnormnumDerivRcppRcppArmadillosurveysurvival

Slides package fitHeavyTail in R/Finance 2023
Rendered fromslides-RFinance2023.pdf.asisusingR.rsp::asis

Last update: 2023-05-24
Started: 2023-05-24

Mean Vector and Covariance Matrix Estimation under Heavy Tails
Mean Vector and Covariance Matrix Estimation under Heavy Tails | Installation | Quick Start | Numerical Comparison with Existing Packages | Extension to Skewed Distributions | Algorithms | References
Rendered fromCovarianceEstimationHeavyTail.html.asisusingR.rsp::asis

Last update: 2019-11-16
Started: 2019-11-16