| mvpd {mvpd} | R Documentation |
Multivariate Product Distributions
Description
The purpose of this package is to offer density, probability, and random variate generating (abbreviated as [d/p/r], respectively) functions for multivariate distributions that can be represented as a product distribution. Specifically, the package will primarily focus on the product of a multivariate normal distribution and a univariate random variable. These product distributions are called Scale Mixtures of Multivariate Normal Distributions, and for particular choices of the univariate random variable distribution the resultant product distribution may be a family of interest. For instance, the square-root of a positive stable random variable multiplied by a multivariate normal distribution is the multivariate subgaussian stable distribution. Product distribution theory is applied for implementing their computation.
Multivariate subgaussian stable distributions
dmvss – multivariate subgaussian stable distribution density
pmvss – multivariate subgaussian stable distribution probabilities
rmvss – multivariate subgaussian stable distribution random variates
pmvss_mc – Monte Carlo version of probabilities, using rmvss
fit_mvss – Fit a multivariate subgaussian stable distribution (e.g. estimate parameters given data)
Author(s)
Maintainer: Bruce Swihart bruce.swihart@gmail.com (ORCID)
See Also
Useful links: