XploRe Help : stabcull

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	stats
See also:	stabreg stabmom

Quantlet:		stabcull
Description:		returns parameter estimates of stable distribution using McCulloch's method

Reference(s):

[1] J.H.McCulloch (1986): "Simple Consistent Estimators of Stable Distribution Parameters", Commun. Statist. - Simul. 15(4) 1109-1136 [2] R.Weron (1995): "Performance of the estimators of stable law parameters", Research Report HSC/95/1, http://www.im.pwr.wroc.pl/~hugo/Publications.html

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

Note:

The algorithm is restricted to alpha > 0.5. For smaller alphas, the result may be inaccurate.

Example:

library("stats") randomize(102) x=rndstab(1.75,1,0.3,1,10000) est = stabcull(x) est.alpha est.sigma est.beta est.mu

Result:

Contents of alpha
[1,]   1.7142

Contents of sigma
[1,]   1.0032

Contents of beta
[1,]  0.31134

Contents of mu
[1,]   1.0204

Author: S.Borak, R.Weron, 20021019 license MD*Tech