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:	0.1-2
Depends:	R (≥ 3.2.0)
Imports:	stats, methods, qrng, Matrix, copula, pcaPP, ADGofTest, mnormt, pracma
Suggests:	RColorBrewer, lattice, qrmdata, xts, knitr, rmarkdown, qrmtools, rugarch, quadprog, mvtnorm, sensitivity, microbenchmark, QRM, zoo
Published:	2025-09-10
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:	Distributions, Finance
CRAN checks:	nvmix results

Documentation:

Reference manual:	nvmix.html , nvmix.pdf
Vignettes:	Multivariate Normal Variance Mixtures (source, R code) Estimating risk measures for normal variance mixture distributions (source, R code)

Downloads:

Package source:	nvmix_0.1-2.tar.gz
Windows binaries:	r-devel: nvmix_0.1-2.zip, r-release: nvmix_0.1-2.zip, r-oldrel: nvmix_0.1-2.zip
macOS binaries:	r-release (arm64): nvmix_0.1-2.tgz, r-oldrel (arm64): nvmix_0.1-2.tgz, r-release (x86_64): nvmix_0.1-2.tgz, r-oldrel (x86_64): nvmix_0.1-2.tgz
Old sources:	nvmix archive

Reverse dependencies:

Reverse suggests:

gnn

Linking:

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