Package: fitHeavyTail
Title: Mean and Covariance Matrix Estimation under Heavy Tails
Version: 0.1.1
Date: 2019-11-22
Description: Robust estimation methods for the mean vector and covariance matrix 
    from data (possibly containing NAs) under multivariate heavy-tailed 
    distributions such as angular Gaussian, Cauchy, and Student's t. Additionally,
    a factor model structure can be specified for the covariance matrix.
    The package is based on the papers:
    Y. Sun, P. Babu, and D. P. Palomar (2014). Regularized Tyler’s Scatter 
    Estimator: Existence, Uniqueness, and Algorithms. IEEE Trans. on Signal 
    Processing, vol. 62, no. 19, pp. 5143-5156. <doi:10.1109/TSP.2014.2348944>.
    Y. Sun, P. Babu, and D. P. Palomar (2015). Regularized Robust Estimation of 
    Mean and Covariance Matrix Under Heavy-Tailed Distributions. IEEE Trans. on 
    Signal Processing, vol. 63, no. 12, pp. 3096-3109. <doi:10.1109/SAM.2014.6882356>.
    Chuanhai Liu and Donald B. Rubin (1995).
    ML estimation of the t-distribution using EM and its extensions, ECM and ECME.
    Statistica Sinica (5), pp. 19-39.
    <https:www3.stat.sinica.edu.tw/statistica/oldpdf/A5n12.pdf>.
    R. Zhou, J. Liu, S. Kumar, and D. P. Palomar (2015).
    Robust factor analysis parameter estimation.
    Lecture Notes in Computer Science (LNCS). <arXiv:1909.12530>.
Authors@R: c(
  person(c("Daniel", "P."), "Palomar", role = c("cre", "aut"), email = "daniel.p.palomar@gmail.com"),
  person("Rui", "Zhou", role =  "aut", email = "rzhouae@connect.ust.hk")
  )
Maintainer: Daniel P. Palomar <daniel.p.palomar@gmail.com>
URL: https://github.com/dppalomar/fitHeavyTail
BugReports: https://github.com/dppalomar/fitHeavyTail/issues
License: GPL-3
Encoding: UTF-8
LazyData: true
RoxygenNote: 6.1.1
Depends:
Imports: ICSNP, mvtnorm, stats
Suggests: knitr, ggplot2, prettydoc, reshape2, rmarkdown, R.rsp,
        testthat
VignetteBuilder: knitr, rmarkdown, R.rsp
NeedsCompilation: no
Packaged: 2019-11-22 10:49:38 UTC; palomar
Author: Daniel P. Palomar [cre, aut],
  Rui Zhou [aut]
Repository: CRAN
Date/Publication: 2019-11-22 11:10:05 UTC
