mggd-package {mggd}

Tools for Multivariate Generalized Gaussian Distributions

Description

This package provides tools for multivariate generalized Gaussian distributions (MGGD):

• Calculation of distances/divergences between multivariate generalized Gaussian distributions:

  • Kullback-Leibler divergence: kldggd

• Tools for MGGD:

  • Probability density: dmggd

  • Estimation of the parameters: estparmggd

  • Simulation from a MGGD: rmggd

  • Plot of the density of a MGGD with 2 variables: plotmggd, contourmggd

Author(s)

Pierre Santagostini [e-mail], Nizar Bouhlel [e-mail]

References

N. Bouhlel, A. Dziri, Kullback-Leibler Divergence Between Multivariate Generalized Gaussian Distributions. IEEE Signal Processing Letters, vol. 26 no. 7, July 2019. doi:10.1109/LSP.2019.2915000

E. Gomez, M. Gomez-Villegas, H. Marin. A Multivariate Generalization of the Power Exponential Family of Distribution. Commun. Statist. 1998, Theory Methods, col. 27, no. 23, p 589-600. doi:10.1080/03610929808832115

F. Pascal, L. Bombrun, J.Y. Tourneret, Y. Berthoumieu. Parameter Estimation For Multivariate Generalized Gaussian Distribution. IEEE Trans. Signal Processing, vol. 61 no. 23, p. 5960-5971, Dec. 2013. doi:10.1109/TSP.2013.2282909 #' @keywords internal

See Also

Useful links:

• https://forgemia.inra.fr/imhorphen/mggd

• Report bugs at https://forgemia.inra.fr/imhorphen/mggd/-/issues