The goal of FitDynMix is to estimate a dynamic lognormal - Generalized Pareto mixture via the Approximate Maximum Likelihood and the Cross-Entropy methods.
You can install the development version of FitDynMix from GitHub with:
# install.packages("devtools")
devtools::install_github("marco-bee/FitDynMix")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')
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