Multivariate Probability Distributions, Statistical Divergence.
multvardiv
The multvardiv packages replaces the mggd, mcauchyd and mstudentd packages.
This package provides tools for multivariate probability distributions:
- Multivariate Gaussian distribution (MGGD)
- Multivariate Cauchy distribution (MCD)
- Multivariate $t$ distribution (MTD)
For each of these probability distributions, some functions are available to compute the divergence between two distributions:
- Renyi, Bhattacharyya and Hellinger divergence
- Kullback-Leibler divergence
And some functions for the manipulation of probability distributions:
- Probability density
- Parameter estimation
- Sample simulation
- Density plot (bivariate distribution)
Installation
Install from the repository, using the devtools package:
install.packages("devtools")
devtools::install_git("https://forgemia.inra.fr/imhorphen/multvardiv")
Authors
Pierre Santagostini and Nizar Bouhlel
Reference
N. Bouhlel, A. Dziri, Kullback-Leibler Divergence Between Multivariate Generalized Gaussian Distributions. IEEE Signal Processing Letters, vol. 26 no. 7, July 2019. https://doi.org/10.1109/LSP.2019.2915000
N. Bouhlel, D. Rousseau, A Generic Formula and Some Special Cases for the Kullback–Leibler Divergence between Central Multivariate Cauchy Distributions. Entropy, 24, 838, July 2022. https://doi.org/10.3390/e24060838
N. Bouhlel and D. Rousseau (2023), Exact Rényi and Kullback-Leibler Divergences Between Multivariate t-Distributions, IEEE Signal Processing Letters. https://doi.org/10.1109/LSP.2023.3324594