mmtdiff: Moment-Matching Approximation for t-Distribution Differences
Abstract
Implements the moment-matching approximation for differences of non-standardized t-distributed random variables in both univariate and multivariate settings. The package provides density, distribution function, quantile function, and random generation for the approximated distributions of t-differences. The methodology establishes the univariate approximated distributions through the systematic matching of the first, second, and fourth moments, and extends it to multivariate cases, considering both scenarios of independent components and the more general multivariate t-distributions with arbitrary dependence structures. Methods build on the classical moment-matching approximation method (e.g., Casella and Berger (2024) ).
Fields of Study & Subjects
Statistical Distribution Estimation and Applications
Probability and Statistical Research
Data Analysis with R
Publication details
- Publication date
- 27 January 2026
- Document type
- Dataset