mistr: A Computational Framework for Mixture and Composite Distributions

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

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Abstract

Finite mixtures and composite distributions allow to model the probabilistic representationof data with more generality than simple distributions and are useful to consider in a wide rangeof applications. The R packagemistrprovides an extensible computational framework for creating,transforming, and evaluating these models, together with multiple methods for their visualizationand description. In this paper we present the main computational framework of the package andillustrate its application. In addition, we provide and show functions for data modeling using twospecific composite distributions as well as a numerical example where a composite distribution isestimated to describe the log-returns of selected stocks.
OriginalspracheEnglisch
Seiten (von - bis)283 - 299
FachzeitschriftThe R Journal
Jahrgang12
Ausgabenummer1
DOIs
PublikationsstatusVeröffentlicht - 2020

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

  • 101029 Mathematische Statistik
  • 101018 Statistik
  • 107007 Risikoforschung

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