sbde

Semiparametric Bayesian Density Estimation

Last update: 16 February 2024

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.0-0, 1.0-1

Description

Offers Bayesian semiparametric density estimation and tail-index estimation for heavy tailed data, by using a parametric, tail-respecting transformation of the data to the unit interval and then modeling the transformed data with a purely nonparametric logistic Gaussian process density prior. Based on Tokdar et al. (2022) <doi:10.1080/01621459.2022.2104727>.

Cites work

Heavy-Tailed Density Estimation

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