LNPar - Estimation and Testing for a Lognormal-Pareto Mixture
Estimates a lognormal-Pareto mixture by means of the Expectation-Conditional-Maximization-Either algorithm and 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 14 hours ago
3.90 score 2 stars 1 scripts 236 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 4 months ago
2.70 score 3 scripts 168 downloads