Software

  • 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 [URL]
    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 (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.