LNPar - Estimation and Testing for a Lognormal-Pareto Mixture
Estimates a lognormal-Pareto mixture by maximizing the profile likelihood function. A likelihood ratio test for discriminating between lognormal and Pareto tail is also implemented. See Bee, M. (2022) <doi:10.1007/s11634-022-00497-4>.
Last updated 5 days ago
3.60 score 2 stars 1 scripts 179 downloadsFitDynMix - Estimation of Dynamic Mixtures
Estimation of a dynamic lognormal - Generalized Pareto mixture via the Approximate Maximum Likelihood and the Cross-Entropy methods. See Bee, M. (2023) <doi:10.1016/j.csda.2023.107764>.
Last updated 3 months ago
2.70 score 3 scripts 186 downloads