Institut für Mathematische Statistik und Versicherungslehre

Software

S. Salvador & R. Gatto (2021)
Gvm_sym_bayes [download]
R programs for the computation of the Bayesian test on symmetry of the GvM distribution. Reference: Computational Statistics.
R. Gatto (2020)
Sad_stab_ruin [download]
Matlab programs for the computation of the stability of the probability of ruin with saddlepoint approximation. Reference: Stochastic Models, 36, 112-133.
R. Gatto (2019)
Sad_cond_repr [download]
Matlab programs for the computation of the conditional saddlepoint approximation for various problems with data in simplices. Reference: Stats, 2, 121-147.
R. Gatto (2018)
Sad_rand_sum [download]
Matlab programs for the computation of the stability of tail probabilities of random sums with the saddlepoint approximation. Reference: Risks, 6, 91
R. Gatto (2018)
Sad_mult_comp_vM_walk [download]
Matlab programs for the computation of saddlepoint approximations for the total distance of multivariate compound random walks with von Mises-Fisher directions. Reference: Applied Mathematics and Computation, 324, 285–294
R. Gatto (2017)
Sad_mult_comp_walk [download]
Matlab programs for the computation of saddlepoint approximations for the total distance of multivariate compound random walks with random step length. Reference: The European Physical Journal B, 90: 238
R. Gatto (2017)
Sad_mult_walk [download]
Matlab programs for the computation of saddlepoint approximations for the total distance of multivariate random walks. Reference: Mathematical Methods of Statistics, 26, 20-36
R. Gatto (2017)
Sad_comp_walk [download]
Matlab programs for the computation of saddlepoint approximations for the total distance of planar compound random walks. Reference: Methodology and Computing in Applied Probability, 19, 843–864
R. Gatto (2017)
Sad_test_vMF [download]
Matlab programs for the computation of the saddlepoint test on the mean direction of the von Mises-Fisher distribution. Reference: Metrika, 80, 733–747
B. Baumgartner & R. Gatto (2014)
finiteruinprob [URL]
An R package computing (approximations of) the probability of ruin in the finite time horizon of the compound Poisson risk process with Brownian perturbation by the saddlepoint approximation. Reference: Methodology and Computing in Applied Probability, 18, 217-235
Lutz Dümbgen, Klaus Nordhausen & Heike Schuhmacher (2014)
fastM [URL]
An R package implementing a new algorithm for fast computation of M-scatter matrices using a partial Newton-Raphson procedure for several estimators.
L. Dümbgen & N. Zumbrunnen (2014)
pvclass [URL]
An R package computing p-values for classification.
L. Dümbgen, K. Rufibach & D. Schuhmacher (2013)
logconcens [URL]
An R-package for the estimation of a log-concave probability density based on censored data.
R. Gatto & C. Peeters (2013)
Randsumsens [download]
R program code for computing the sensitivities of Poisson and geometric random sums by the saddlepoint approximation and by the method of score with importance sampling. Reference: Journal of Statistical Computation and Simulation, 85, 641-659
B. Baumgartner & R. Gatto (2012)
sdprisk [URL]
An R package for approximations of the value at ruin and the tail value at ruin of the compound Poisson risk process with perturbation. Reference: Methodology and Computing in Applied Probability, 16, 561- 582.
L. Dümbgen & K. Rufibach (2011)
logcondens [URL]
An R-package for the estimation of a log-concave probability density based on i.i.d. observations or, more generally, discrete distributions.
S. Pfyffer & R. Gatto (2011)
GvM_gen [download]
FORTRAN 90/95 Programs for the acceptance-rejection generation of generalized von Mises random variables of order two with a piecewise linear envelope. Reference: Computational Statistics, 28, 255-268.
D. Ginsbourger & V. Picheny (2011)
KrigInv [URL]
An R package for Kriging-based Inversion for Deterministic and Noisy Computer Experiments.
B. Baumgartner & R. Gatto (2010)
bootruin [URL]
An R package providing a bootstrap test for the probability of ruin in the classical (compound Poisson, Cramér-Lundberg) risk process. Reference: Astin Bulletin, 40, 241-255.
R. Gatto (2008)
GvM_comp [download]
Matlab programs for the generalized von Mises model: for the entropy, for Akaike's information criterion and for the generation with the ratio-of-uniforms method. Four data sets of wind directions. Reference: Statistics and Computing, 18, 321-331.
R. Gatto (2007)
GvM [download]
Matlab programs for the computation of the generalized von Mises density and the maximum likelihood estimator. Four data sets of wind directions. Reference: Statistical Methodology, 4, 341-353.
R. Gatto & M. Mayer (2005)
Sad_circ [download]
Matlab programs for the computation of saddlepoint approximations for models of circular data. Reference: Statistical Methodology, 2, 233-248.