Browsing by Author "Kossinna, P"

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    PublicationOpen Access
    Fast Tail Index Estimation for Power Law Distributions in R
    (2020-06-18) Munasinghe, R; Kossinna, P; Jayasinghe, D; Wijeratne, D
    Power law distributions, in particular Pareto distributions, describe data across diverse areas of study. We have developed a package in R to estimate the tail index for such datasets focusing on speed (in particular with large datasets), keeping in mind ease of use, as well as accuracy. In this short article, we provide a user guide to our package along with the results obtained highlighting the speed advantages of our package.
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    PublicationOpen Access
    Revisiting Feller Diffusion: Derivation and Simulation
    (2019-07-13) Munasinghe, R; Kanthan, L; Kossinna, P
    We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key properties related to hitting time probabilities via the simulation