mstudentd-package {mstudentd}

Tools for Multivariate t Distributions

Description

This package provides tools for multivariate t distributions (MTD):

• Calculation of distances/divergences between MTD:

  • Renyi divergence, Bhattacharyya distance, Hellinger distance: diststudent

  • Kullback-Leibler divergence: kldstudent

• Tools for MTD:

  • Probability density: dmtd

  • Simulation from a MTD: rmtd

  • Plot of the density of a MTD with 2 variables: plotmtd, contourmtd

Author(s)

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

References

S. Kotz and Saralees Nadarajah (2004), Multivariate t Distributions and Their Applications, Cambridge University Press.

N. Bouhlel and D. Rousseau (2023), Exact Rényi and Kullback-Leibler Divergences Between Multivariate t-Distributions, IEEE Signal Processing Letters. doi:10.1109/LSP.2023.3324594 #' @keywords internal

See Also

Useful links:

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

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