Usage: |
est=stabreg(x{,method{,epsilon{,maxit}}})
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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
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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 |