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

bivt.contour, comp.den, rmvt

Examples

x <- as.matrix(iris[, 1:4])
multivt(x)

[Package Compositional version 5.2 Index]