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) .

FitDynMix

The goal of FitDynMix is to estimate a dynamic lognormal - Generalized Pareto mixture via the Approximate Maximum Likelihood and the Cross-Entropy methods.

Installation

You can install the development version of FitDynMix from GitHub with:

# install.packages("devtools")
devtools::install_github("marco-bee/FitDynMix")

Example

This is a basic example of estimation via AMLE:

library(FitDynMix)
## basic example code
k <- 5000
epsilon <- .02
bootreps <- 2
res = AMLEfit(Metro2019, epsilon, k, bootreps, 1e-04, 'exp')