MVT: Estimation and testing for the multivariate t-distribution

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.

Features

Providing Feedback

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.

Resources

Latest binaries and sources for MVT are availables from CRAN package repository .

Installation instructions

To install this package, start R and enter:

install.packages("MVT")

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)

R CMD INSTALL MVT

Next, you can load the package by using the command: library(MVT)

Disclaimer

The package is provided under the GPL. MVT is under active development: new features are being added and old features are being improved.

To cite the MVT package in publications use:

Osorio, F. and Galea, M. (2017). Testing variance homogeneity and equicorrelation of returns of the Chilean pension system.

About the Author

I'm Lecturer at Department of Mathematics of the Universidad Técnica Federico Santa María, Chile.

I contribute as developer/maintainer of the following R packages: