mmtdiff: Moment-Matching Approximation for t-Distribution Differences
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) <doi:10.1201/9781003456285>).
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