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