multvardiv

The multvardiv packages replaces the mggd, mcauchyd and mstudentd packages.

This package provides tools for multivariate probability distributions:

• Multivariate Gaussian distribution (MGGD)
• Multivariate Cauchy distribution (MCD)
• Multivariate \(t\) distribution (MTD)

For each of these probability distributions, some functions are available to compute the divergence between two distributions:

• Renyi, Bhattacharyya and Hellinger divergence
• Kullback-Leibler divergence

And some functions for the manipulation of probability distributions: + Probability density + Parameter estimation + Sample simulation + Density plot (bivariate distribution)

Installation

Install the package from CRAN:

install.packages("multvardiv")

Or install the development version from the repository, using the devtools package:

install.packages("devtools")
devtools::install_git("https://forge.inrae.fr/imhorphen/multvardiv")

Authors

Pierre Santagostini and Nizar Bouhlel

Reference

N. Bouhlel, A. Dziri, Kullback-Leibler Divergence Between Multivariate Generalized Gaussian Distributions. IEEE Signal Processing Letters, vol. 26 no. 7, July 2019. https://doi.org/10.1109/LSP.2019.2915000

N. Bouhlel, D. Rousseau, A Generic Formula and Some Special Cases for the Kullback–Leibler Divergence between Central Multivariate Cauchy Distributions. Entropy, 24, 838, July 2022. https://doi.org/10.3390/e24060838

N. Bouhlel and D. Rousseau (2023), Exact Rényi and Kullback-Leibler Divergences Between Multivariate t-Distributions, IEEE Signal Processing Letters. https://doi.org/10.1109/LSP.2023.3324594