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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>.
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4.08 score 2 stars 1 dependents 1 scripts 284 downloadslognGPD - Estimation of a Lognormal - Generalized Pareto Mixture
Estimation of a lognormal - Generalized Pareto mixture via the Expectation-Maximization algorithm. Computation of bootstrap standard errors is supported and performed via parallel computing. Functions for random number simulation and density evaluation are also available. For more details see Bee and Santi (2025) <doi:10.48550/arXiv.2505.22507>.
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2.70 score 3 scripts 225 downloads