Functions for working with grouped and ungrouped multivariate normal variance mixture distributions (evaluation of distribution functions and densities, random number generation and parameter estimation), including Student's t distribution for non-integer degrees-of-freedom as well as the grouped t distribution and copula with multiple degrees-of-freedom parameters.
| Version: | 0.0-4 |
| Depends: | R (≥ 3.2.0) |
| Imports: | stats, methods, qrng, Matrix |
| Suggests: | knitr, RColorBrewer, lattice, qrmdata, xts |
| Published: | 2020-06-12 |
| Author: | Marius Hofert [aut, cre], Erik Hintz [aut], Christiane Lemieux [aut] |
| Maintainer: | Marius Hofert <marius.hofert at uwaterloo.ca> |
| License: | GPL (≥ 3) | file LICENCE |
| NeedsCompilation: | yes |
| In views: | Finance |
| CRAN checks: | nvmix results |
| Reference manual: | nvmix.pdf |
| Vignettes: |
Multivariate Normal Variance Mixtures Estimating risk measures for normal variance mixture distributions |
| Package source: | nvmix_0.0-4.tar.gz |
| Windows binaries: | r-devel: nvmix_0.0-4.zip, r-release: nvmix_0.0-4.zip, r-oldrel: nvmix_0.0-4.zip |
| macOS binaries: | r-release: nvmix_0.0-4.tgz, r-oldrel: nvmix_0.0-4.tgz |
| Old sources: | nvmix archive |
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