GSM-package {GSM}R Documentation

Estimation of a Gamma Shape Mixture Model

Description

This package implements a Bayesian approach for estimation of a mixture of gamma distributions in which the mixing occurs over the shape parameter. This family provides a flexible and novel approach for modeling heavy-tailed distributions, it is computationally efficient, and it only requires to specify a prior distribution for a single parameter. See Venturini et al. (2006).

Author(s)

Sergio Venturini sergio.venturini@unibocconi.it

References

Venturini, S., Dominici, F., and Parmigiani, G., "Gamma Shape Mixtures for Heavy-Tailed Distributions" (December 2006). Johns Hopkins University, Dept. of Biostatistics Working Papers. Working Paper 124. http://www.bepress.com/jhubiostat/paper124

See Also

gsm, gsm.theta.


[Package GSM version 0.1-2 Index]