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]

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fitHeavyTail.pdf |fitHeavyTail.html✨
fitHeavyTail/json (API)
NEWS

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

Peer review:

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

On CRAN:

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

6.25 score 21 stars 1 packages 28 scripts 676 downloads 6 exports 15 dependencies

Last updated 2 years agofrom:f0d576e60d. Checks:7 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKJan 04 2025
R-4.5-winOKJan 04 2025
R-4.5-linuxOKJan 04 2025
R-4.4-winOKJan 04 2025
R-4.4-macOKJan 04 2025
R-4.3-winOKJan 04 2025
R-4.3-macOKJan 04 2025

Exports:fit_Cauchyfit_mvstfit_mvtfit_Tylernu_OPP_estimatornu_POP_estimator

Dependencies:DBIghypICSICSNPlatticeMASSMatrixminqamitoolsmvtnormnumDerivRcppRcppArmadillosurveysurvival

Mean Vector and Covariance Matrix Estimation under Heavy Tails

Rendered fromCovarianceEstimationHeavyTail.html.asisusingR.rsp::asison Jan 04 2025.

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

Slides package fitHeavyTail in R/Finance 2023

Rendered fromslides-RFinance2023.pdf.asisusingR.rsp::asison Jan 04 2025.

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