This Julia package implements some tools to work with and around generalized gamma convolutions and their multivariate extensions.
A non-exhaustive list of included features:
- Random number generation and infrastructure through overloading of Distributions.jl functions.
- Density evaluation through Moschopoulos, Mathai, and novel Laguerre series in univariate case
- Density evaluation in the multivariate case through Laguerre series
- Laverny's Estimation through an L2 loss on density in the Laguerre basis
- Tool sto estimate and work with k-statistics and shifted cumulants and moments, including a formal expansion to compute their formulas.
- Estimation through a shifted-cumulant-based loss
- Miles, Furman and Kuznetsov projection algorithm
- ...
This is still a WIP and the documentation is sparse, as are the test coverage. Use with caution.