Other packages > Find by keyword >

fitHeavyTail  

Mean and Covariance Matrix Estimation under Heavy Tails
View on CRAN: Click here


Download and install fitHeavyTail package within the R console
Install from CRAN:
install.packages("fitHeavyTail")

Install from Github:
library("remotes")
install_github("cran/fitHeavyTail")

Install by package version:
library("remotes")
install_version("fitHeavyTail", "0.2.0")



Attach the package and use:
library("fitHeavyTail")
Maintained by
Daniel P. Palomar
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-11-22
Latest Update: 2023-05-01
Description:
Robust estimation methods for the mean vector, scatter matrix, and covariance matrix (if it exists) from data (possibly containing NAs) under multivariate heavy-tailed distributions such as angular Gaussian (via Tyler's method), Cauchy, and Student's t distributions. Additionally, a factor model structure can be specified for the covariance matrix. The latest revision also includes the multivariate skewed t distribution. The package is based on the papers: Sun, Babu, and Palomar (2014); Sun, Babu, and Palomar (2015); Liu and Rubin (1995); Zhou, Liu, Kumar, and Palomar (2019); Pascal, Ollila, and Palomar (2021).
How to cite:
Daniel P. Palomar (2019). fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails. R package version 0.2.0, https://cran.r-project.org/web/packages/fitHeavyTail. Accessed 18 Sep. 2026.
Previous versions and publish date:
(2026-07-09 07:39), 0.1.1 (2019-11-22 12:10), 0.1.2 (2020-01-07 11:20), 0.1.3 (2022-04-16 09:12), 0.1.4 (2022-05-11 10:40)
Other packages that cited fitHeavyTail R package
View fitHeavyTail citation profile
Other R packages that fitHeavyTail depends, imports, suggests or enhances
Complete documentation for fitHeavyTail
Functions, R codes and Examples using the fitHeavyTail R package
Some associated functions: fitHeavyTail-package . fit_Cauchy . fit_Tyler . fit_mvst . fit_mvt . nu_OPP_estimator . nu_POP_estimator . 
Some associated R codes: fitHeavyTail-package.R . fit_TylerCauchy.R . fit_mvst.R . fit_mvt.R . nu_OPP_estimator.R . nu_POP_estimator.R . nu_nonparametric_estimation.R . plotting.R .  Full fitHeavyTail package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

eyelinker  
Import ASC Files from EyeLink Eye Trackers
Imports plain-text ASC data files from EyeLink eye trackers into (relatively) tidy data frames for ...
Download / Learn more Package Citations See dependency  
hmeasure  
The H-Measure and Other Scalar Classification Performance Metrics
Classification performance metrics that are derived from the ROC curve of a classifier. The package ...
Download / Learn more Package Citations See dependency  
injectoR  
R Dependency Injection
R dependency injection framework. Dependency injection allows a program design to follow the depend ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
downlit  
Syntax Highlighting and Automatic Linking
Syntax highlighting of R code, specifically designed for the needs of 'RMarkdown' packages like 'pk ...
Download / Learn more Package Citations See dependency  
data360r  
Wrapper for 'TCdata360' and 'Govdata360' API
Makes it easy to engage with the Application Program Interface (API) of the 'TCdata360' and 'Govdat ...
Download / Learn more Package Citations See dependency  

28,565

R Packages

239,283

Dependencies

75,677

Author Associations

28,566

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA