mistr: A Computational Framework for Mixture and Composite Distributions

Publication: Scientific journalJournal articlepeer-review

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.
Original languageEnglish
Pages (from-to)283 - 299
JournalThe R Journal
Volume12
Issue number1
DOIs
Publication statusPublished - 2020

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 101029 Mathematical statistics
  • 101018 Statistics
  • 107007 Risk research

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