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 Hintz, Hofert, Lemieux (2019) <arXiv:1911.03017> for more details.

Version: 0.0-5
Depends: R (≥ 3.2.0)
Imports: stats, methods, qrng, Matrix, copula, pcaPP
Suggests: RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown
Published: 2020-09-21
Author: Marius Hofert [aut, cre], Erik Hintz [aut], Christiane Lemieux [aut]
Maintainer: Marius Hofert <marius.hofert at uwaterloo.ca>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
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_0.0-5.tar.gz
Windows binaries: r-devel: nvmix_0.0-5.zip, r-release: nvmix_0.0-5.zip, r-oldrel: nvmix_0.0-5.zip
macOS binaries: r-release: nvmix_0.0-5.tgz, r-oldrel: nvmix_0.0-5.tgz
Old sources: nvmix archive


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