R: MLE of the multivariate t distribution

MLE of the multivariate t distribution {Rfast} | R Documentation

## MLE of the multivariate t distribution

### Description

MLE of the multivariate t distribution.

### Usage

    mvt.mle(x, v = 5, tol = 1e-07)

### Arguments

`x` | A matrix with numerical data.
`v` | The degrees of freedom. Must be a positive number, greater than zero.
`tol` | The tolerance value to terminate the EM algorithm.

### Details

The location vector, scatter matrix and the value of the log-likelihood is calculated.

### Value

A list including:

`iters` | The number of iterations required for the EM algorihm to converge.
`loglik` | The value of the maximised log-likelihood.
`location` | The location vector.
`scatter` | The scatter matrix.

### Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr>.

### References

Nadarajah S. and Kotz S. (2008). Estimation methods for the multivariate t distribution. Acta Applicandae Mathematicae, 102(1):99-118.

### See Also

`mvnorm.mle, dmvnorm, gaussian.nb`

### Examples

    x <- matrnorm(100, 4)
    res<-mvnorm.mle(x)
    res<-mvt.mle(x, v = 5)
    res<-mvt.mle(x, v = 100)

[Package Rfast version 2.0.0 Index]