FitDynMix

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Estimation of Dynamic Mixtures

Marco Bee

Last update: 11 January 2024

Copyright license: MIT license, File License

Software version identifier: 0.1.0, 1.0.0

Description

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>.

Cites work

• Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér - von Mises distance

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