MultiStatM2.1.0 package

Multivariate Statistical Methods

EliminIndx

Distinct values selection vector

EliminMatr

Elimination Matrix

HermiteCoeff

Coefficients of Hermite polynomials

HermiteCov12

Covariance matrix for multivariate T-Hermite polynomials

MargMomCum

Marginal moments and cumulants from T-vectors

Mom2Cum

Convert moments to cumulants (univariate and multivariate)

MomCumCFUSN

Moments and cumulants CFUSN

MTCE

Multivariate tail conditional expectation

MVStandardize

Standardize multivariate data

rCFUSSD

Random multivariate CFUSSD

rSkewNorm

Random Multivariate Skew Normal

rUniS

Random multivariate spherically symmetric distributions

SampleEdg

Deprecated function

SampleEVSK

Estimation of multivariate Mean, Variance, T-Skewness and T-Kurtosis v...

SampleGC

Deprecated function

SampleHermiteN

Deprecated function

SampleKurt

Estimation of Sample Kurtosis (Mardia, MRSz, Total)

SampleMomCum

Estimation of multivariate T-Moments and T-Cumulants

CommutatorIndx

Commutator Index

CommutatorMatr

Commutator Matrix

Cum2Mom

Convert cumulants to moments (univariate and multivariate)

Edgeworth

Edgeworth expansion of a multivariate density

EVSKGenHyp

EVSK multivariate Generalized hyperbolic

EVSKSkewNorm

EVSK multivariate Skew Normal

EVSKSkewt

EVSK multivariate Skew-t

EVSKUniS

EVSK of the Uniform distribution on the sphere or its modulus

GramCharlier

Gram-Charlier approximation to a multivariate density

HermiteN

Hermite Polynomials (Univariate and Multivariate)

HermiteN2X

Inverse Hermite Polynomial

IntEdgeworth

Integrate Edgeworth density

IntGramCharlier

Integrate Gram Charlier density

IntHermiteN

IntHermiteN

MomCumGenHyp

Moments and cumulants of the multivariate Generalized Hyperbolic distr...

MomCumMVt

Moments and cumulants Multivariate t-Student distribution

MomCumSkewNorm

Moments and cumulants d-variate Skew Normal

MomCumUniS

Moments and cumulants Uniform Distribution on the Sphere

MomCumZabs

Moments and Cumulants of the Central Folded Normal Distribution

Partitions

General Partition Function

PartitionTypeAll

Partitions, type and number of partitions

PermutationInv

Inverse of a Permutation

QplicIndx

Qplication vector

QplicMatr

Qplication Matrix

rCFUSN

Random multivariate CFUSN

SampleSkew

Estimation of Sample Skewness (Mardia, MRSz)

SampleVarianceSkewKurt

Estimated Variance of skewness and kurtosis vectors

SymIndx

Symmetrizing vector

SymMatr

Symmetrizer Matrix

UnivMomCum

Deprecated function

VarianceKurt

Asymptotic Variance of the estimated kurtosis vector

VarianceSkew

Asymptotic Variance of the estimated skewness vector

Algorithms to build set partitions and commutator matrices and their use in the construction of multivariate d-Hermite polynomials; estimation and derivation of theoretical vector moments and vector cumulants of multivariate distributions; conversion formulae for multivariate moments and cumulants. Applications to estimation and derivation of multivariate measures of skewness and kurtosis; estimation and derivation of asymptotic covariances for d-variate Hermite polynomials, multivariate moments and cumulants and measures of skewness and kurtosis. The formulae implemented are discussed in Terdik (2021, ISBN:9783030813925), "Multivariate Statistical Methods".

  • Maintainer: Emanuele Taufer
  • License: GPL-3
  • Last published: 2026-01-25