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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 31 Oct. 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)
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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
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