fit_mle_mixture

Estimates parameters of a two-component alpha-stable mixture using maximum likelihood
and the L-BFGS-B optimization method.

Provides various functions for parameter estimation of one-dimensional
stable distributions and their mixtures. It implements a diverse set of
estimation methods, including quantile-based approaches, regression methods
based on the empirical characteristic function (empirical, kernel, and
recursive), and maximum likelihood estimation. For mixture models, it provides
stochastic expectation–maximization (SEM) algorithms and Bayesian estimation
methods using sampling and importance sampling to overcome the long burn-in
period of Markov Chain Monte Carlo (MCMC) strategies. The package also includes
tools and statistical tests for analyzing whether a dataset follows a stable
distribution. Some of the implemented methods are described in
Hajjaji, O., Manou-Abi, S. M., and Slaoui, Y. (2024) <doi:10.1080/02664763.2024.2434627>.

Solym Manou-Abi

MixStable

Parameter Estimation for Stable Distributions and Their Mixtures

Adam Najib

Yousri Slaoui

fit_mle_mixture function

<dl><dt>data</dt>
<dd>Numeric vector of observations.</dd></dl>

Arguments

Fit MLE Mixture of Two Stable Distributions — fit_mle_mixture

<dl>

<dt>data</dt>
<dd>Numeric vector of observations.</dd>

</dl>

fit_mle_mixture: Fit MLE Mixture of Two Stable Distributions

Description

Usage

Value

Arguments