mig2.0 package

Multivariate Inverse Gaussian Distribution

tnorm_kdens_arma

Truncated Gaussian kernel density estimator

tnorm_kdens

Truncated Gaussian kernel density estimator

tnorm_lcv

Likelihood cross-validation for truncated normal kernel density estima...

tnorm_loo

Leave-one-out cross-validation for truncated Gaussian kernel density e...

tnorm_lscv

Least squares cross-validation for truncated Gaussian kernel density e...

tnorm_rlcv

Likelihood cross-validation for truncated normal kernel density estima...

dmig_laplacian

Laplacian of the MIG density with respect to the data

dot-lsum

Log of sum of terms

dot-mig_mle

Maximum likelihood estimation of multivariate inverse Gaussian vectors

dot-mig_mom

Method of moments estimators for multivariate inverse Gaussian vectors

dtellipt

Density of elliptical vectors subject to a linear constraint

fit_mig

Fit multivariate inverse Gaussian distribution

gauss_kdens_arma

Gaussian kernel density estimator

gauss_lcv

Likelihood cross-validation for Gaussian kernel density estimation

gauss_loo

Leave-one-out cross-validation for Gaussian kernel density estimation

gauss_lscv

Least squares cross-validation for Gaussian kernel density estimation

gauss_rlcv

Robust likelihood cross-validation for Gaussian kernel density estimat...

hsgauss_kdens

Gaussian kernel density estimator on half-space

kdens_bandwidth

Optimal scale matrix for kernel density estimation

mig_kdens_arma

MIG kernel density estimator

mig_kdens

Multivariate inverse Gaussian kernel density estimator

mig_lcv

Likelihood cross-validation for MIG density estimation

mig_loglik_grad

Gradient of the MIG log likelihood with respect to data

mig_loglik_hessian

Hessian of the MIG log likelihood with respect to data

mig_loglik_laplacian

Laplacian of the MIG log likelihood with respect to the data

mig_loo

Leave-one-out cross-validation for kernel density estimation with MIG

mig_lscv

Least squares cross-validation for MIG density estimation

mig_rlcv

Robust likelihood cross-validation for kernel density estimation for M...

mig

Multivariate inverse Gaussian distribution

mle_truncgauss

Maximum likelihood estimation of truncated Gaussian on half space

normalrule_bandwidth

Normal bandwidth rule

proj_hs

Orthogonal projection matrix onto the half-space

rtellipt

Simulate elliptical vector subject to a linear constraint

an

Threshold selection for bandwidth

Provides utilities for estimation for the multivariate inverse Gaussian distribution of Minami (2003) <doi:10.1081/STA-120025379>, including random vector generation and explicit estimators of the location vector and scale matrix. The package implements kernel density estimators discussed in Belzile, Desgagnes, Genest and Ouimet (2024) <doi:10.48550/arXiv.2209.04757> for smoothing multivariate data on half-spaces.

  • Maintainer: Leo Belzile
  • License: MIT + file LICENSE
  • Last published: 2025-04-08