mstudentd
This package provides tools for multivariate \(t\) distributions (MTD):
- Calculation of distance/divergence between multivariate generalised Gaussian distributions (MGGD):
- Renyi divergence
- Kullback divergence
- Manipulation of MGGD distributions:
- Probability density
- Estimation of the parameters
- Simulation of samples from a MGGD
- Plot of the density of a MGGD with 2 variables
Installation
Authors
Pierre Santagostini and Nizar Bouhlel
Reference