R: Estimate Parameters of a Multivariate t Distribution Using...
mvt.ecme
R Documentation
Estimate Parameters of a Multivariate t Distribution Using the
ECME Algorithm
Description
Use the Expectation/Conditional Maximization Either (ECME) algorithm
to obtain estimate of parameters of a multivariate t distribution.
Usage
mvt.ecme(X, lower.v, upper.v, err=1e-4)
Arguments
X
a matrix of observations with one subject per row.
lower.v
lower bound of degrees of freedom (df).
upper.v
upper bound of df.
err
the iteration stops when consecutive difference in
percentage of df reaches this bound. The default value is 1e-4.
Details
They are number of forms of the generalization of the univariate student-t
distribution to multivariate cases. This function adopts the widely
used representation as a scale mixture of normal distributions.
To obtain the estimate, the algorithm adopted is the
Expectation/Conditional Maximization Either (ECME), which extends the
Expectation/Conditional Maximization (ECM) algorithm by allowing
CM-steps to maximize either the constrained expected complete-data
log-likelihood, as with ECM, or the correspondingly constrained
actual log-likelihood function.
Value
Mu
estimate of location.
Sigma
estimate of scale matrix.
v
estimate of df.
References
Chuanhai Liu (1994)
Statistical Analysis Using the Multivariate t Distribution
Ph. D. Dissertation, Harvard University