MLE of the multivariate t distribution {Rfast}

MLE of the multivariate t distribution

Description

MLE of the multivariate t distribution.

Usage

mvt.mle(x, v = 5, tol = 1e-07)

Arguments

x

A matrix with numerical data.

v

The degrees of freedom. Must be a positive number, greater than zero.

tol

The tolerance value to terminate the EM algorithm.

Details

The location vector, scatter matrix and the value of the log-likelihood is calculated.

Value

A list including:

iters

The number of iterations required for the EM algorihm to converge.

loglik

The value of the maximised log-likelihood.

location

The location vector.

scatter

The scatter matrix.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <[e-mail]>.

References

Nadarajah S. and Kotz S. (2008). Estimation methods for the multivariate t distribution. Acta Applicandae Mathematicae, 102(1):99-118.

See Also

mvnorm.mle, dmvnorm, gaussian.nb

Examples

x <- matrnorm(100, 4)
res<-mvnorm.mle(x)
res<-mvt.mle(x, v = 5)
res<-mvt.mle(x, v = 100)