fitHeavyTail

0.2.0

Mean and Covariance Matrix Estimation under Heavy Tails

1packages depend

9.2Kdownloads / year

62.8%test coverage

13/13checks pass

Overview

About

Maintained by Daniel P. PalomarFirst published 2019-11-225 releasesCRAN page ↗GitHub ↗

Robust estimation methods for the mean vector, scatter matrix, and covariance matrix (if it exists) from data (possibly containing NAs) under multivariate heavy-tailed distributions such as angular Gaussian (via Tyler's method), Cauchy, and Student's t distributions. Additionally, a factor model structure can be specified for the covariance matrix. The latest revision also includes the multivariate skewed t distribution. The package is based on the papers: Sun, Babu, and Palomar (2014); Sun, Babu, and Palomar (2015); Liu and Rubin (1995); Zhou, Liu, Kumar, and Palomar (2019); Pascal, Ollila, and Palomar (2021).

Install

R (CRAN)pak (dev)Ubuntu (r2u)openSUSE (OBS)

install.packages("fitHeavyTail", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("convexfi/fitHeavyTail")

Development version from convexfi/fitHeavyTail. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-fitheavytail

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-fitHeavyTail

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 4.7 min · r-devel-linux-x86_64-fedora-clang

Check history

OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

Documentation signals are not tracked yet for this package.

Downloads

9.2K

CRAN downloads in the past year

Rank #4,746 · ~25/day · ~770/mo

fitHeavyTail Releases R versions

Daily download trend is not available in this view yet.

46530 days

1.9K90 days

9.2K1 year

Compare downloads with other packages →

Also on96 r2u29 autocran

Repository

GitHub ↗ convexfi/fitheavytail

22Stars

6Forks

0Open issues

0Open PRs

4Releases

250Commits

2Contributors

covariance-matrixcovariance-estimationheavy-tailed-distributionsstudent-ttylercauchyoutliersrobust-estimation

License GPL-3.0 · 250 commits · Last activity 2023-05-24

Repository practices

Upstream repositoryBeta

4 development-tooling and community-health practices detected across 4 families in the upstream repository

Checks run against github.com/convexfi/fitheavytail on 2026-07-19.

CRAN release process (1)

cran-comments.md

Docs source (1)

README.Rmd

Lint, format, editor (1)

RStudio project

Git structural (1)

.gitattributes

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

10 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (5)

ICSNP mvtnorm ghyp numDerivstats

LinkingTo (0)

none

Suggests (6)

ggplot2 reshape2 knitr rmarkdown R.rsp testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

highOrderPortfolios

Code & Tests

People & History

People (5)

Maintainer (1)

Daniel P. Palomar

Maintainer, Author

Authors (3)

Daniel P. Palomar

Maintainer, Author

Xiwen Wang

Author · added in 0.1.3

Rui Zhou

Author

Contributors (2)

Esa Ollila

Contributor · added in 0.2.0

Frédéric Pascal

Contributor · added in 0.2.0

Listed in earlier versions (1)

Daniel P.

no longer listed · 0.1.1 to 0.2.0

Package Timeline

5 releases. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
0.2.0Latest
2023-05-01 · current release · diff ↗
R
R 4.3.0 released · 2023-04-21
0.1.4
2022-05-11 · diff ↗
unarchivedReturned to CRAN
2022-05-11
archivedRemoved from CRAN
2022-05-07
requires archived package 'ghyp'
R
R 4.2.0 released · 2022-04-22
0.1.3
2022-04-16 · diff ↗
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
0.1.2
2020-01-07 · diff ↗
0.1.1
2019-11-22
R
R 3.6.0 released · 2019-04-26

Package metadata

First published: 2019-11-22
Total releases: 5 / 7 yrs
License: GPL-3 OSI
Download size: 709 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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