nvmix: Multivariate Normal Variance Mixtures

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: 0.1-1
Depends: R (≥ 3.2.0)
Imports: stats, methods, qrng, Matrix, copula, pcaPP, ADGofTest, mnormt, pracma
Suggests: RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown
Published: 2024-03-04
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) | file LICENCE
NeedsCompilation: yes
Citation: nvmix citation info
In views: Finance
CRAN checks: nvmix results


Reference manual: nvmix.pdf
Vignettes: Multivariate Normal Variance Mixtures
Estimating risk measures for normal variance mixture distributions


Package source: nvmix_0.1-1.tar.gz
Windows binaries: r-devel: nvmix_0.1-1.zip, r-release: nvmix_0.1-1.zip, r-oldrel: nvmix_0.1-1.zip
macOS binaries: r-release (arm64): nvmix_0.1-1.tgz, r-oldrel (arm64): nvmix_0.1-1.tgz, r-release (x86_64): nvmix_0.1-1.tgz, r-oldrel (x86_64): nvmix_0.1-1.tgz
Old sources: nvmix archive

Reverse dependencies:

Reverse suggests: gnn


Please use the canonical form https://CRAN.R-project.org/package=nvmix to link to this page.