├── .Rbuildignore ├── .gitattributes ├── .gitignore ├── DESCRIPTION ├── LICENSE ├── NAMESPACE ├── NEWS.md ├── R ├── fitHeavyTail-package.R ├── fit_TylerCauchy.R ├── fit_mvst.R ├── fit_mvt.R ├── nu_OPP_estimator.R ├── nu_POP_estimator.R ├── nu_nonparametric_estimation.R └── plotting.R ├── README.Rmd ├── README.html ├── README.md ├── R_buildignore ├── bare-bones.R ├── compare_nu_optim_algs.R ├── deleted_parts.R ├── developer_commands.R ├── old tests on nu │ ├── estimate_nu_via_Kurtosis melt.Rmd │ ├── estimate_nu_via_Kurtosis-melt.html │ ├── estimate_nu_via_Kurtosis.Rmd │ ├── estimate_nu_via_Kurtosis.html │ ├── tricks_on_nu-v2.Rmd │ ├── tricks_on_nu-v2.html │ ├── tricks_on_nu.Rmd │ └── tricks_on_nu.html ├── profiling_Rui.R ├── speed_checks.R ├── test_Daniel.R └── test_Rui.R ├── cran-comments.md ├── fitHeavyTail.Rproj ├── inst └── CITATION ├── man ├── figures │ └── README-scatter-plots-1.png ├── fitHeavyTail-package.Rd ├── fit_Cauchy.Rd ├── fit_Tyler.Rd ├── fit_mvst.Rd ├── fit_mvt.Rd ├── nu_OPP_estimator.Rd └── nu_POP_estimator.Rd ├── papers ├── (to implement) 5714-robust-portfolio-optimization.pdf ├── Aas2006 - GH Skew t.pdf ├── AshurbekovaCarleveForbesAchard2020.pdf ├── Junyan's note 19-Sept-2017 - ECME.pdf ├── Lin2010_Article_RobusTMixTureModelingUsingMulT.pdf ├── LiuRubin1995-ECME.pdf ├── Liuetal1998.pdf ├── MeanCovEstim_Matlab.zip ├── MinskerWei2017 - robust_estimation_heavytails.pdf ├── OllilaPalomarPascal-ICASSP2020.pdf ├── OllilaPalomarPascal-TSP2021.pdf ├── OllilaRaninen2019.pdf ├── On_approximating_the_modified_Bessel_function_of_t.pdf ├── PXEM_GH_Skew_t.pdf ├── PXEM_t_covFactorModel.pdf ├── Palmer2016 - multivariate GH Skew t.pdf ├── PascalOllilaPalomar-EUSIPCO2021 (POP estimator of nu).pdf ├── SunBabuPalomar-TSP2015 - robust estimation mu&R.pdf ├── SunBabuPalomar_TSP2014 - robust estimation R.pdf ├── Usseglio-Carleve2018.pdf ├── ZhouLiuKumarPalomar-LNCS2019.pdf ├── acceleration-via-alpha.png ├── covmat-correction-factor.png ├── difficulty of estimating nu │ ├── 2290063.pdf │ └── FernandezSteel1999 (see Section 5, p. 164).pdf ├── other packages to compare with │ └── fit.mle.t- Fit a T Distribution via Maximum Likelihood Estimation in christopherggreen:cggmisc- Christopher G Green's Miscellaneous Functions.webloc ├── tail index estimation - ptsuite_vignette.pdf └── weighted_fit_mvt.pdf ├── tests ├── testthat.R └── testthat │ ├── X_mvst.RData │ ├── X_mvt.RData │ ├── fitted_Cauchy_check.RData │ ├── fitted_Tyler_check.RData │ ├── fitted_mvst_check.RData │ ├── fitted_mvt_check.RData │ ├── fitted_mvt_factor_check.RData │ ├── fitted_mvt_fixednu_check.RData │ ├── fitted_mvt_fixednu_kurtosis_check.RData │ ├── fitted_mvt_fixednu_mle_check.RData │ ├── fitted_mvt_wNA_check.RData │ ├── test-fit_Cauchy.R │ ├── test-fit_Tyler.R │ ├── test-fit_mvst.R │ └── test-fit_mvt.R └── vignettes ├── .gitignore ├── CovarianceEstimationHeavyTail.Rmd ├── CovarianceEstimationHeavyTail.html ├── CovarianceEstimationHeavyTail.html.asis ├── apalike.csl ├── old-versions ├── 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