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-4.5)fitHeavyTail_0.2.0.9000.zip(r-4.4)fitHeavyTail_0.2.0.9000.zip(r-4.3)
fitHeavyTail_0.2.0.9000.tgz(r-4.5-any)fitHeavyTail_0.2.0.9000.tgz(r-4.4-any)fitHeavyTail_0.2.0.9000.tgz(r-4.3-any)
fitHeavyTail_0.2.0.9000.tar.gz(r-4.5-noble)fitHeavyTail_0.2.0.9000.tar.gz(r-4.4-noble)
fitHeavyTail_0.2.0.9000.tgz(r-4.4-emscripten)fitHeavyTail_0.2.0.9000.tgz(r-4.3-emscripten)
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'))

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

On CRAN:

Conda:

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

6.27 score 22 stars 1 packages 28 scripts 832 downloads 6 exports 15 dependencies

Last updated 2 years agofrom:f0d576e60d. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 05 2025
R-4.5-winOKMar 05 2025
R-4.5-macOKMar 05 2025
R-4.5-linuxOKMar 05 2025
R-4.4-winOKMar 05 2025
R-4.4-macOKMar 05 2025
R-4.4-linuxOKMar 05 2025
R-4.3-winOKMar 05 2025
R-4.3-macOKMar 05 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 Mar 05 2025.

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

Slides package fitHeavyTail in R/Finance 2023

Rendered fromslides-RFinance2023.pdf.asisusingR.rsp::asison Mar 05 2025.

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