I need to fit a generalized Gaussian distribution to a 7-dim cloud of points containing quite a significant number of outliers with high leverage. Do you know any good R package for this job?
This sounds like a classic multivariate Gaussian Mixture Model. I think that the BayesM package might work.
Here are some multivariate Gaussian Mixture packages - bayesm: cran.r-project.org/web/packages/bayesm/index.html - mixtools: www.jstatsoft.org/v32/i06/paper