ef3m

Sampling, Validation and ML Diagnostics

Moment-based mixture fitting utilities for two-normal components.

Why This Module Exists

Provides robust parameter estimation for bimodal return mixtures when full MLE is heavy.

Key Public APIs

M2N
centered_moment
raw_moment
most_likely_parameters

Core Math

Raw Moment

\[m_k=E[X^k]\]

Mixture Mean

\[\mu=p\mu_1+(1-p)\mu_2\]

Code Examples

Estimate moments

use openquant::ef3m::centered_moment;

let moments = vec![0.0, 1.0, 0.1, 3.0];
let m3 = centered_moment(&moments, 3);

Implementation Notes

Use as initialization for more expensive optimizers.
Sensitive to higher-moment estimation noise.