Changes in fitHeavyTail version 0.1.2 (2020-1-7)

• Vignette revised: detailed descriptions of the algorithms included.

• Comparison with additional existing benchmark sn::selm() included in the vignette.

• Now the three fitting functions also return the number of iterations and elapsed cpu_time.

• Significant revision of the fitting function fit_mvt(); in particular:

  • the nu_target for the estimation of nu has been removed since it was not effective;
  • several new options for the initial value of nu or fixed value of nu have been included; and
  • improved and more robust estimation of nu at each EM iteration.

• Function fit_mvt() now allows the choice (via the argument na_rm) to drop the observations with NAs or impute them.

Changes in fitHeavyTail version 0.1.1 (2019-11-22)

• Initial release is on CRAN.

• It includes three functions for heavy tails fitting: fit_mvt(), fit_Tyler(), and fit_Cauchy().

• Vignette illustrates its use and comparison with existing packages.

• Tests are included.

• fit_mvt() can deal with NAs and a factor model structure on the covariance matrix.

Changes in fitHeavyTail version 0.1.0 (2017-11-04)

• Initial bare-bone implementation (not publicly released).