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The multvardiv packages replaces the mggd, mcauchyd and mstudentd packages.
This package provides tools for multivariate probability distributions:
For each of these probability distributions, some functions are available to compute the divergence between two distributions:
And some functions for the manipulation of probability distributions: + Probability density + Parameter estimation + Sample simulation + Density plot (bivariate distribution)
Install from the repository, using the devtools
package:
install.packages("devtools")
devtools::install_git("https://forgemia.inra.fr/imhorphen/multvardiv")Pierre Santagostini and Nizar Bouhlel
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
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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