Library: | stats |
See also: | stabreg stabmom |
Quantlet: | stabcull | |
Description: | returns parameter estimates of stable distribution using McCulloch's method |
Usage: | est=stabcull(x) | |
Input: | ||
x | n x 1 vector, a sample from a stable distribution | |
Output: | ||
est.alpha | scalar, estimate of characteristic exponent | |
est.sigma | scalar, estimate of scale parameter | |
est.beta | scalar, estimate of skewness parameter | |
est.mu | scalar, estimate of location parameter |
library("stats") randomize(102) x=rndstab(1.75,1,0.3,1,10000) est = stabcull(x) est.alpha est.sigma est.beta est.mu
Contents of alpha [1,] 1.7142 Contents of sigma [1,] 1.0032 Contents of beta [1,] 0.31134 Contents of mu [1,] 1.0204