| MLE for the multivariate t distribution {Compositional} | R Documentation |
MLE for the multivariate t distribution
Description
MLE of the parameters of a multivariate t distribution.
Usage
multivt(y, plot = FALSE)
Arguments
y |
A matrix with continuous data. |
plot |
If plot is TRUE the value of the maximum log-likelihood as a function of the degres of freedom is presented. |
Details
The parameters of a multivariate t distribution are estimated. This is used by the functions comp.den and bivt.contour.
Value
A list including:
center |
The location estimate. |
scatter |
The scatter matrix estimate. |
df |
The estimated degrees of freedom. |
loglik |
The log-likelihood value. |
mesos |
The classical mean vector. |
covariance |
The classical covariance matrix. |
Author(s)
Michail Tsagris.
R implementation and documentation: Michail Tsagris mtsagris@uoc.gr and Giorgos Athineou <gioathineou@gmail.com>.
References
Nadarajah, S. and Kotz, S. (2008). Estimation methods for the multivariate t distribution. Acta Applicandae Mathematicae, 102(1):99-118.
See Also
Examples
x <- as.matrix(iris[, 1:4])
multivt(x)