| Library: | stats |
| See also: | stabreg stabcull |
| Quantlet: | stabmom | |
| Description: | returns parameter estimates of stable distribution using the method of moments |
| Usage: | est=stabmom(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(100)
x=rndstab(1.6,1,0,1,10000)
est = stabmom(x)
est.alpha
est.sigma
est.beta
est.mu
Contents of alpha [1,] 1.5924 Contents of sigma [1,] 1.0093 Contents of beta [1,] -0.079982 Contents of mu [1,] 0.94979