The MVT package contains a set of routines to perform estimation and inference under the multivariate t-distribution. These methods are a direct generalization of the multivariate inference under the gaussian assumption. In addition, these procedures provide robust methods useful against outliers. The package uses these functions in algorithms to simulate, analyze, and fit the model to data. The methodology is described, with examples, in a working paper.
Please report any bugs/suggestions/improvements to Felipe Osorio, Universidad Técnica Federico Santa María. If you find these routines useful or not then please let me know. Also, acknowledgement of the use of the routines is appreciated.
Latest binaries and sources for MVT are availables from CRAN package repository .
To install this package, start R and enter:
Alternatively, you can download the source as a tarball or as a zip file. Unpack the tarball or zipfile (thereby creating a directory named, MVT) and install the package source by executing (at the console prompt)
Next, you can load the package by using the command:
The package is provided under the GPL. MVT is under active development: new features are being added and old features are being improved.
Osorio, F. and Galea, M. (2017). Likelihood-based tests for the covariance matrix of multivariate t distribution: Return assessment of the Chilean pension system.
I contribute as developer/maintainer of the following R packages: