Multivariate Subgaussian Stable Distributions in R

Abstract

We introduce and showcase [mvpd](https://CRAN.R-project.org/package=mvpd) (an acronym for *m*ulti*v*ariate *p*roduct *d*istributions), a package that uses a product distribution approach to calculating multivariate subgaussian stable distribution functions. The family of multivariate subgaussian stable distributions are elliptically contoured multivariate stable distributions that contain the multivariate Cauchy and the multivariate normal distribution. These distributions can be useful in modeling data and phenomena that have heavier tails than the normal distribution (more frequent occurrence of extreme values). Application areas include log returns for stocks, signal processing for radar and sonar data, astronomy, and hunting patterns of sharks.