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 721 downloads 6 exports 15 dependencies

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

TargetResultTimeFilesSyslog
linux-devel-x86_64OK194
source / vignettesOK178
linux-release-x86_64OK165
macos-release-arm64OK151
macos-oldrel-arm64OK179
windows-develOK155
windows-releaseOK157
windows-oldrelOK126
wasm-releaseOK114

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
Rendered fromCovarianceEstimationHeavyTail.html.asisusingR.rsp::asis

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