Package: nvmix 0.1-2

nvmix: Multivariate Normal Variance Mixtures

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.

Authors:Marius Hofert [aut, cre], Erik Hintz [aut], Christiane Lemieux [aut]

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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
nvmix/json (API)

# Install 'nvmix' in R:
install.packages('nvmix', repos = c('https://mariushofert.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.97 score 1 stars 47 scripts 677 downloads 46 exports 15 dependencies

Last updated from:33b8582aa7. Checks:13 OK. Indexed: yes.

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linux-devel-x86_64OK201
source / vignettesOK264
linux-release-arm64OK194
linux-release-x86_64OK288
macos-release-arm64OK135
macos-release-x86_64OK393
macos-oldrel-arm64OK100
macos-oldrel-x86_64OK540
windows-develOK164
windows-releaseOK168
windows-oldrelOK125
wasm-releaseOK177

Exports:corgnvmixdgammamixdgnvmixdgStudentdgStudentcopuladNormdnvmixdnvmixcopuladskewtdskewtcopuladStudentdStudentcopulaES_nvmixfitgStudentcopulafitNormfitnvmixfitStudentfitStudentcopulaget_set_paramget_set_qqplot_paramlambda_gStudentpgammamixpgnvmixpgStudentpgStudentcopulapNormpnvmixpnvmixcopulapStudentpStudentcopulaqgammamixqnvmixqqplot_mahargammamixrgnvmixrgStudentrgStudentcopularNormrNorm_sumconstrrnvmixrnvmixcopularskewtrskewtcopularStudentrStudentcopulaVaR_nvmix

Dependencies:ADGofTestclustercolorspacecopulagsllatticeMatrixmnormtmvtnormnumDerivpcaPPpracmapsplineqrngstabledist

Estimating risk measures for normal variance mixture distributions
Introduction | Estimating Risk Measures for $X\sim NVM_1(\mu, \sigma, F_W)$ | Value-at-risk | Expected Shortfall
Rendered fromnvmix_riskmeasures.Rmdusingknitr::rmarkdown

Last update: 2020-06-12
Started: 2020-01-13

Multivariate Normal Variance Mixtures
1 Introduction | 2 Evaluating the distribution function | 2.1 Exponential mixture distribution | 2.2 Three-point mixture distribution | 2.3 The wrappers pNorm() and pStudent() | 2.4 The effect of algorithm-specific parameters | 3 Evaluating the density function | 3.1 3-point mixture | 3.2 Inverse-gamma mixture | 4 (Quasi-)random number generation | 5 Parameter estimation
Rendered fromnvmix_functionality.Rmdusingknitr::rmarkdown

Last update: 2020-06-12
Started: 2018-10-14