Functions for working with (grouped) 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. See <doi:10.18637/jss.v102.i02> for a high-level description of select functionality.
| Version: | 0.1-2 |
| Depends: | R (≥ 3.2.0) |
| Imports: | stats, methods,qrng,Matrix,copula,pcaPP,ADGofTest,mnormt,pracma |
| Suggests: | RColorBrewer,lattice,qrmdata,xts,knitr,rmarkdown,qrmtools,rugarch,quadprog,mvtnorm,sensitivity,microbenchmark,QRM,zoo |
| Published: | 2025-09-10 |
| DOI: | 10.32614/CRAN.package.nvmix |
| Author: | Marius Hofert [aut, cre], Erik Hintz [aut], Christiane Lemieux [aut] |
| Maintainer: | Marius Hofert <mhofert at hku.hk> |
| License: | GPL (≥ 3) | fileLICENCE |
| NeedsCompilation: | yes |
| Citation: | nvmix citation info |
| In views: | Distributions,Finance |
| CRAN checks: | nvmix results |