FitDynMix

The goal of FitDynMix is to estimate a dynamic lognormal - Generalized Pareto mixture via the Approximate Maximum Likelihood and the Cross-Entropy methods.

Installation

You can install the development version of FitDynMix from GitHub with:

# install.packages("devtools")
# devtools::install_github("marco-bee/FitDynMix")
install.packages("FitDynMix", repos = c('https://marco-bee.r-universe.dev', 'https://cloud.r-project.org'))

Example

This is a basic example of estimation via AMLE:

library(FitDynMix)
## basic example code
k <- 5000
epsilon <- .02
bootreps <- 2
res = AMLEfit(Metro2019, epsilon, k, bootreps, 1e-04, 'exp')