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fitHeavyTail version 0.1.3 (2022-4-14)
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@dppalomar dppalomar released this 16 Apr 07:29
· 28 commits to master since this release
v0.1.3
ad10b5c

  • New method for skewed t distributions: fit_mvst()

  • fit_mvt() and fit_mvst(): Now the bounds for nu estimation can be set as a global option, e.g.: options(nu_min = 4.2).

  • Fixed description regarding covariance matrix for Cauchy distribution.

  • fit_mvt(): It accepts weights as argument to weight differently the samples (as opposed to uniform weights).

  • fit_mvt(): Many more methods to estimate nu iteratively (via argument nu_iterative_method).

  • fit_mvt(): New argument scale_minMSE to include a correction factor in the covariance matrix for minimum MSE (still in development).

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