mistr: A Computational Framework for Mixture and Composite Distributions

Sablica, Lukas ORCID: https://orcid.org/0000-0001-9166-4563 and Hornik, Kurt ORCID: https://orcid.org/0000-0003-4198-9911 (2020) mistr: A Computational Framework for Mixture and Composite Distributions. The R Journal, 12 (1). pp. 283-299. ISSN 2073-4859

Available under License Creative Commons: Attribution 4.0 International (CC BY 4.0).

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Finite mixtures and composite distributions allow to model the probabilistic representation of data with more generality than simple distributions and are useful to consider in a wide range of applications. The R package mistr provides an extensible computational framework for creating, transforming, and evaluating these models, together with multiple methods for their visualization and description. In this paper we present the main computational framework of the package and illustrate its application. In addition, we provide and show functions for data modeling using two specific composite distributions as well as a numerical example where a composite distribution is estimated to describe the log-returns of selected stocks.

Item Type: Article
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Version of the Document: Accepted for Publication
Depositing User: Gertraud Novotny
Date Deposited: 24 Jan 2020 10:32
Last Modified: 24 Nov 2020 13:30
FIDES Link: https://bach.wu.ac.at/d/research/results/93816/
URI: https://epub.wu.ac.at/id/eprint/7457


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