monomvn-package {monomvn} | R Documentation |
Estimation of multivariate normal data of arbitrary dimension where the pattern of missing data is monotone. Through the use of partial least squares and principal component regressions, where standard regressions fail, the package can handle an (almost) arbitrary amount of missing data. The current version supports maximum likelihood inference. Future versions will provide a means of sampling from a Bayesian posterior.
For a fuller overview including a complete list of functions, demos and
vignettes, please use help(package="tgp")
.
Robert B. Gramacy bobby@statslab.cam.ac.uk
Maintainer: Robert B. Gramacy bobby@statslab.cam.ac.uk
Robert B. Gramacy and Joo Hee Lee (2007). On estimating covariances between many assets with histories of highly variable length. Preprint available on arXiv:0710.5837: http://arxiv.org/abs/0710.5837
http://www.statslab.cam.ac.uk/~bobby/monomvn.html
monomvn
, norm, mvnmle