Package: nvmix 0.1-1

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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nvmix/json (API)

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

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

2.90 score 1 stars 40 scripts 345 downloads 46 exports 14 dependencies

Last updated 9 months agofrom:a609c4858d. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 26 2024
R-4.5-win-x86_64NOTEOct 26 2024
R-4.5-linux-x86_64NOTEOct 26 2024
R-4.4-win-x86_64OKOct 26 2024
R-4.4-mac-x86_64OKOct 26 2024
R-4.4-mac-aarch64OKOct 26 2024
R-4.3-win-x86_64OKOct 26 2024
R-4.3-mac-x86_64OKOct 26 2024
R-4.3-mac-aarch64OKOct 26 2024

Exports:corgnvmixdgammamixdgnvmixdgStudentdgStudentcopuladNormdnvmixdnvmixcopuladskewtdskewtcopuladStudentdStudentcopulaES_nvmixfitgStudentcopulafitNormfitnvmixfitStudentfitStudentcopulaget_set_paramget_set_qqplot_paramlambda_gStudentpgammamixpgnvmixpgStudentpgStudentcopulapNormpnvmixpnvmixcopulapStudentpStudentcopulaqgammamixqnvmixqqplot_mahargammamixrgnvmixrgStudentrgStudentcopularNormrNorm_sumconstrrnvmixrnvmixcopularskewtrskewtcopularStudentrStudentcopulaVaR_nvmix

Dependencies:ADGofTestcolorspacecopulagsllatticeMatrixmnormtmvtnormnumDerivpcaPPpracmapsplineqrngstabledist

Estimating risk measures for normal variance mixture distributions

Erik Hintz, Marius Hofert and Christiane Lemieux

Rendered fromnvmix_riskmeasures.Rmdusingknitr::rmarkdownon Oct 26 2024.

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

Multivariate Normal Variance Mixtures

Erik Hintz, Marius Hofert and Christiane Lemieux

Rendered fromnvmix_functionality.Rmdusingknitr::rmarkdownon Oct 26 2024.

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