Institute of Mathematical Statistics and Actuarial Science

Software

S. Salvador & R. Gatto (2023)
GvmF_generation [download]
R programs for the generation of directions from the GvMF distribution. Reference: Communications in Statistics, Simulation and Computation.
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.
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.
B. Baumgartner & R. Gatto (2012)
sdprisk [URL]
An R package computing (approximations of) the value at ruin and the tail value at ruin as well as the probability of ruin in the compound Poisson risk process with Brownian perturbation while mainly relying on saddlepoint techniques.
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 [URL]
FORTRAN 90/95 Programs for the acceptance-rejection generation of generalized von Mises random variables of order two with a piecewise linear envelope.
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.
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.
R. Gatto & M. Mayer (2005)
sad_circ [download]
Matlab programs for the computation of saddlepoint approximations for models of circular data.