https://github.com/convexfi/fitheavytail

Mean and Covariance Matrix Estimation under Heavy Tails
https://github.com/convexfi/fitheavytail

cauchy covariance-estimation covariance-matrix heavy-tailed-distributions outliers robust-estimation student-t tyler

Last synced: 6 months ago
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Mean and Covariance Matrix Estimation under Heavy Tails

• Host: GitHub
• URL: https://github.com/convexfi/fitheavytail
• Owner: convexfi
• License: gpl-3.0
• Created: 2017-11-07T02:48:52.000Z (almost 8 years ago)
• Default Branch: master
• Last Pushed: 2023-05-24T08:06:26.000Z (over 2 years ago)
• Last Synced: 2025-03-26T11:18:05.669Z (6 months ago)
• Topics: cauchy, covariance-estimation, covariance-matrix, heavy-tailed-distributions, outliers, robust-estimation, student-t, tyler
• Language: R
• Homepage: https://CRAN.R-project.org/package=fitHeavyTail
• Size: 40.2 MB
• Stars: 22
• Watchers: 1
• Forks: 4
• Open Issues: 0

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