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