estparmcd function

Estimation of the Parameters of a Multivariate Cauchy Distribution

Estimation of the mean vector and correlation matrix of a multivariate Cauchy distribution (MCD).

estparmcd(x, eps = 1e-6)

Arguments

• x: numeric matrix or data frame.
• eps: numeric. Precision for the estimation of the parameters.

Returns

A list of 2 elements:

• mu the mean vector.
• Sigma: symmetric positive-definite matrix. The correlation matrix.

with two attributes attr(, "epsilon") (precision of the result) and attr(, "k") (number of iterations).

Details

The EM method is used to estimate the parameters.

Examples

mu <- c(0, 1, 4)
Sigma <- matrix(c(1, 0.6, 0.2, 0.6, 1, 0.3, 0.2, 0.3, 1), nrow = 3)
x <- rmcd(100, mu, Sigma)

# Estimation of the parameters
estparmcd(x)

References

Doğru, F., Bulut, Y. M. and Arslan, O. (2018). Doubly reweighted estimators for the parameters of the multivariate t-distribution. Communications in Statistics - Theory and Methods. 47. tools:::Rd_expr_doi("10.1080/03610926.2018.1445861") .

See Also

dmcd: probability density of a MTD

rmcd: random generation from a MTD.

Author(s)

Pierre Santagostini, Nizar Bouhlel