XploRe Help : stabreg

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:	stabmom stabcull

Quantlet:		stabreg
Description:		returns parameter estimates of stable distribution using regression method

Reference(s):

[1] S.M. Kogon,D.B. Williams (1998): "Characteristic function based estimation of stable parameters", in A Practical Guide to Heavy Tails, eds. R. Adler, R.Feldman, and M. Taqqu (Birkhauser, Boston). [2] I.A.Koutrouvelis (1980): "Regression-Type Estimation of the Parameters of Stable Laws", JASA 75, 918-928. [3] 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=stabreg(x{,method{,epsilon{,maxit}}})`
Input:
	`x`	n x 1 vector, a sample from a stable distribution
	`method`	(optional) string, determines which method should be used, possible options are: "K" - Koutrouvelis method using McCulloch's method as an initial estimation (default), "KM" - Koutrouvelis method using method of moments as an initial estimation, "KW" - Kogon-Williams method.
	`epsilon`	(optional) scalar, maximal error, default epsilon = 0.00001, not used in "KW" method
	`maxit`	(optional) scalar, maximal number of iterations, default maxit = 5, not used in "KW" method
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

Example:

library("stats") randomize(100) x=rndstab(1.3,1,-0.5,0,10000) est = stabreg(x) est.alpha est.sigma est.beta est.mu

Result:

Contents of alpha
[1,]   1.2886

Contents of sigma
[1,]   1.0066

Contents of beta
[1,] -0.45274

Contents of mu
[1,]  0.022121

Example:

library("stats") randomize(100) x=rndstab(1.7,1,0.5,0,10000) est = stabreg(x,"K",0.001,6) est.alpha est.sigma est.beta est.mu

Result:

Contents of alpha
[1,]   1.6978

Contents of sigma
[1,]   1.006

Contents of beta
[1,]  0.47234

Contents of mu
[1,]  -0.022303

Author: S.Borak, R.Weron, 20021023 license MD*Tech