mvcauchy

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Multivariate Cauchy Distribution

Michail Tsagris

Last update: 6 February 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0

Description

The Cauchy distribution is a special case of the t distribution when the degrees of freedom are equal to 1. The functions are related to the multivariate Cauchy distribution and include simulation, computation of the density, maximum likelihood estimation, contour plot of the bivariate Cauchy distribution, and discriminant analysis. References include: Nadarajah S. and Kotz S. (2008). "Estimation methods for the multivariate t distribution". Acta Applicandae Mathematicae, 102(1): 99–118. <doi:10.1007/s10440-008-9212-8>, and Kanti V. Mardia, John T. Kent and John M. Bibby (1979). "Multivariate analysis", ISBN:978-0124712522. Academic Press, London.

Cites work

• Estimation methods for the multivariate \(t\) distribution

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