Repository to store research code for the robust skew-t fitting project. The code will (eventually) have the following structure:

• Distribution Functions:

  • Normal
  • Skew Normal
  • Student's t
  • Skew t
  • Multivariate Normal
  • Multivariate Skew Normal
  • Multivariate t
  • Multivariate Skew t For each distribution, we have one script which defines all the required functions: deviance, partial derivative of the deviance

• Parameter Estimation

  • Maximum Likelihood
  • Method of Moments
  • Maximum Constrained Likelihood (MCLE)
  • Trimmed Likelihood (TLE) Each of these functions should take a distribution object defining the distribution (deviance, derivative of deviance, etc.) and a dataset. Additionally, they may take other parameters (such as the level of trimming or initial estimate) and will return estimates of the parameters.

• Additional functions

  • Dampening Functions for MCLE