ef3m

Subject

Sampling, Validation and ML Diagnostics

Why This Module Exists

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

Mathematical Foundations

Raw Moment

$m_k=E[X^k]$

Mixture Mean

$\mu=p\mu_1+(1-p)\mu_2$

Usage Examples

Rust

Estimate moments

use openquant::ef3m::centered_moment;

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

API Reference

Rust API

• M2N
• centered_moment
• raw_moment
• most_likely_parameters

Implementation Notes

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