nvmix

R package nvmix: Multivariate Normal Variance Mixtures. Functions for working with (grouped) multivariate normal variance mixture distributions (evaluation of distribution functions and densities, random number generation and parameter estimation), including Student’s t distribution for non-integer degrees-of-freedom as well as the grouped t distribution and copula with multiple degrees-of-freedom parameters. See Hintz, Hofert, Lemieux (2019) <arXiv:1911.03017> for more details.

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References in zbMATH (referenced in 1 article )

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  1. Hintz, Erik; Hofert, Marius; Lemieux, Christiane: Normal variance mixtures: distribution, density and parameter estimation (2021)