MLE of the multivariate Cauchy distribution {mvcauchy}

MLE of the multivariate Cauchy distribution

Description

MLE of the multivariate Cauchy distribution.

Usage

mvcauchy.mle(x, tol = 1e-07)

Arguments

x

A matrix with numerical data.

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

rmvcauchy, dmvcauchy

Examples

x <- as.matrix(iris[, 1:2])
res <- mvcauchy.mle(x)