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: | 0.1-1 |
| Depends: | R (≥ 3.2.0) |
| Imports: | stats, methods, qrng, Matrix, copula, pcaPP, ADGofTest, mnormt, pracma |
| Suggests: | RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown |
| Published: | 2024-03-04 |
| 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: | Finance |
| CRAN checks: | nvmix results [issues need fixing before 2025-09-03] |
| Reference manual: | nvmix.html , nvmix.pdf |
| Vignettes: |
Multivariate Normal Variance Mixtures (source, R code) Estimating risk measures for normal variance mixture distributions (source, R code) |
| Package source: | nvmix_0.1-1.tar.gz |
| Windows binaries: | r-devel: nvmix_0.1-1.zip, r-release: nvmix_0.1-1.zip, r-oldrel: nvmix_0.1-1.zip |
| macOS binaries: | r-release (arm64): nvmix_0.1-1.tgz, r-oldrel (arm64): nvmix_0.1-1.tgz, r-release (x86_64): nvmix_0.1-1.tgz, r-oldrel (x86_64): nvmix_0.1-1.tgz |
| Old sources: | nvmix archive |
| Reverse suggests: | gnn |
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