mvpd

Multivariate Product Distributions for Elliptically Contoured Distributions

Last update: 3 September 2023

Software version identifier: 0.0.3, 0.0.1, 0.0.2, 0.0.4

Copyright license: MIT license, File License

Estimates multivariate subgaussian stable densities and probabilities as well as generates random variates using product distribution theory. A function for estimating the parameters from data to fit a distribution to data is also provided, using the method from Nolan (2013) <doi:10.1007/s00180-013-0396-7>.

Cites work

Multivariate elliptically contoured stable distributions: theory and estimation