Overview

The goal of lognGPD is to estimate a lognormal - Generalized Pareto mixture via the EM algorithm.

Installation

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

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

Example

This is a basic example which shows you how to simulate and estimate a lognormal-GPD mixture:

library(lognGPD)
y <- rlognGPD(100,.9,0,1,0.5,2)
x0 <- c(.7,.2,1.3,.8,1.7)
res <- EMlogngpdmix(x0, y, maxiter = 1000, nboot = 0)