Description Usage Arguments Details Value Author(s) References Examples

Maximum Likelihood Estimation for the dynamic weighted mixture model of Frigessi et al., 2002

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`cell` |
lossdat cell |

`body` |
body distribution, either gamma, lnorm or weibull |

`tail` |
tail distribution, either gamma, lnorm, weibull or gpd |

`method` |
optimization method, default is "L-BFGS-B" |

`c_location0` |
empirical quantile of loss severity data used for initialization of Cauchy location parameter in optimization: quantile(cell$Loss,c_location0) |

`c_scale0` |
scaling factor for empirical standard deviation used for initialization of Cauchy scale parameter in optimization: sd(cell$Loss)/c_scale0 |

Body and tail parameters are initialized by method of moments estimators. Cauchy location is initialized by empirical 70

Returns a sevdist object of type 'mixing' with the given body and tail distributions fitted to the loss data.

Marius Pfeuffer

Frigessi et al. *A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection*, Extremes 5(3):219-235, 2003

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