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✨
card.svg |card.png
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

6.41 score 22 stars 1 packages 39 scripts 725 downloads 6 exports 15 dependencies

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

TargetResultTimeFilesSyslog
linux-devel-x86_64OK190
source / vignettesOK198
linux-release-x86_64OK182
macos-release-arm64OK175
macos-oldrel-arm64OK262
windows-develOK157
windows-releaseOK155
windows-oldrelOK141
wasm-releaseOK113

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 May 14 2026.

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

Slides package fitHeavyTail in R/Finance 2023

Rendered fromslides-RFinance2023.pdf.asisusingR.rsp::asison May 14 2026.

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