AMLEmode

This function approximates the mode of a multivariate empirical distribution by means of:<ol>
<li>the sample mean</li>
<li>the product of the maxima of the univariate kernel densities estimated using the marginals</li>
<li>the maximum of the multivariate kernel density</li>
<li>the maximum of the product of the univariate kernel densities
Typically used in connection with AMLEfit (see AMLEfit for examples).</li>
</ol>

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>.

Marco Bee

FitDynMix

Estimation of Dynamic Mixtures

AMLEmode function

<dl><dt>ABCsam</dt>
<dd>(m x k) matrix: ABC sample, where m is the ABC sample size and k is the
number of parameters.</dd></dl>

Arguments

Approximating the mode of a multivariate empirical distribution — AMLEmode

<dl>

<dt>ABCsam</dt>
<dd>(m x k) matrix: ABC sample, where m is the ABC sample size and k is the
number of parameters.</dd>

</dl>

AMLEmode: Approximating the mode of a multivariate empirical distribution

Description

Usage

Value

Arguments

Details