StableEstim: Estimate the Four Parameters of Stable Laws using Different Methods

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Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided.

Author
Tarak Kharrat, Georgi N. Boshnakov
Date of publication
2016-07-27 03:50:56
Maintainer
Georgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
License
GPL (>= 2)
Version
2.1

View on CRAN

Man pages

abMat
Default set of parameters to pass to the 'Estim_Simulation'.
almostEqual
test approximate equality
BestTClass
Class '"Best_t"'
CF
The characteristic function of the stable law
CgmmParamsEstim
The generalised method of moment with a continuum of moment...
ComputeBest_t
Monte Carlo Simulation to investigate the optimal number of...
ComputeBest_tau
Runs Monte Carlo Simulation to investigate the optimal tau.
ComputeDuration
Duration
ConcatFiles
Concatenates output files.
EstimClass
Class '"Estim"'
EstimFct
Main estimation function
Estim_Simulation
Monte Carlo Simulation
FirstRoot
first root of the empirical characteristic function.
get.StatFcts
Default functions used to produce the statistical summmary.
getTime
read time.
GMMParametersEstim
generalised method of moment with finite number of moment...
Integrate
Integrate Ranndom vectors product
Inverse
Regularised Inverse
jacCF
Jacobian of the characteristic function of the stable law.
KogonParamsEstim
Kogon regression method + McCulloch quantile method.
KoutParamsEstim
Iterative Koutrouvelis regression method
McCullochParametersEstim
quantile-based method.
MLEstimFct
Maximum likelihood (ML) method.
Output
parse an output file to create a summary object ('list').
PrintDuration
print duration
PrintEstimatedRemainingTime
Estimated Remaining Time
sampleComplexCFMoment
Complex moment condition based on the characteristic...
sampleRealCFMoment
Real moment condition based on the characteristic function.
StableEstim-package
stable law estimation functions
StatFcts
Default functions used to produce the statistical summmary.
TexSummary
LaTex summary.

Files in this package

StableEstim
StableEstim/inst
StableEstim/inst/Examples
StableEstim/inst/Examples/VectIntegral_examples.R
StableEstim/inst/Examples/BestT_examples.R
StableEstim/inst/Examples/file2.csv
StableEstim/inst/Examples/Estim_examples.R
StableEstim/inst/Examples/file1.csv
StableEstim/inst/Examples/RegularInverse_examples.R
StableEstim/inst/Examples/examplesInDoc.R
StableEstim/inst/Examples/test1.csv
StableEstim/inst/Examples/test2.csv
StableEstim/inst/Examples/Start.R
StableEstim/inst/Examples/fileSum.csv
StableEstim/inst/Examples/Simulation_examples.R
StableEstim/NAMESPACE
StableEstim/R
StableEstim/R/Interpolation.R
StableEstim/R/Estim_Class.R
StableEstim/R/Estim.R
StableEstim/R/ExternalPackageInterface.R
StableEstim/R/cte.R
StableEstim/R/ToolsFct.R
StableEstim/R/stableCF.R
StableEstim/R/WeightingMatrix.R
StableEstim/R/CheckPoint.R
StableEstim/R/BestT.R
StableEstim/R/MultiDimIntegral.R
StableEstim/R/OutputFileManip.R
StableEstim/R/tSchemes.R
StableEstim/R/GMMParamsEstim.R
StableEstim/R/CgmmParamsEstim.R
StableEstim/R/RegularInverse.R
StableEstim/R/Simulation.R
StableEstim/R/CFbasedMoment.R
StableEstim/R/KoutParamsEstim.R
StableEstim/R/eCFfirstZero.R
StableEstim/R/InitialGuess.R
StableEstim/R/MLParamsEstim.R
StableEstim/R/BestT_Class.R
StableEstim/MD5
StableEstim/DESCRIPTION
StableEstim/man
StableEstim/man/ConcatFiles.Rd
StableEstim/man/TexSummary.Rd
StableEstim/man/McCullochParametersEstim.Rd
StableEstim/man/ComputeBest_t.Rd
StableEstim/man/Inverse.Rd
StableEstim/man/sampleRealCFMoment.Rd
StableEstim/man/getTime.Rd
StableEstim/man/FirstRoot.Rd
StableEstim/man/BestTClass.Rd
StableEstim/man/Output.Rd
StableEstim/man/EstimFct.Rd
StableEstim/man/ComputeDuration.Rd
StableEstim/man/PrintDuration.Rd
StableEstim/man/StatFcts.Rd
StableEstim/man/abMat.Rd
StableEstim/man/GMMParametersEstim.Rd
StableEstim/man/Integrate.Rd
StableEstim/man/get.StatFcts.Rd
StableEstim/man/PrintEstimatedRemainingTime.Rd
StableEstim/man/KogonParamsEstim.Rd
StableEstim/man/CgmmParamsEstim.Rd
StableEstim/man/EstimClass.Rd
StableEstim/man/Estim_Simulation.Rd
StableEstim/man/almostEqual.Rd
StableEstim/man/CF.Rd
StableEstim/man/MLEstimFct.Rd
StableEstim/man/sampleComplexCFMoment.Rd
StableEstim/man/StableEstim-package.Rd
StableEstim/man/ComputeBest_tau.Rd
StableEstim/man/jacCF.Rd
StableEstim/man/KoutParamsEstim.Rd