Functions for working with (grouped) multivariate normal variance mixture
distributions (evaluation of distribution functions and densities,
random number generation and parameter estimation), including
Student's t distribution for non-integer degrees-of-freedom as well as the grouped t
distribution and copula with multiple degrees-of-freedom parameters.
See <doi:10.18637/jss.v102.i02> for a high-level description of select functionality.
| Version: |
0.1-2 |
| Depends: |
R (≥ 3.2.0) |
| Imports: |
stats, methods, qrng, Matrix, copula, pcaPP, ADGofTest, mnormt, pracma |
| Suggests: |
RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown, qrmtools, rugarch, quadprog, mvtnorm, sensitivity, microbenchmark, QRM, zoo |
| Published: |
2025-09-10 |
| DOI: |
10.32614/CRAN.package.nvmix |
| Author: |
Marius Hofert [aut, cre],
Erik Hintz [aut],
Christiane Lemieux [aut] |
| Maintainer: |
Marius Hofert <mhofert at hku.hk> |
| License: |
GPL (≥ 3) | file LICENCE |
| NeedsCompilation: |
yes |
| Citation: |
nvmix citation info |
| In views: |
Distributions, Finance |
| CRAN checks: |
nvmix results |