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

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.

AuthorTarak Kharrat, Georgi N. Boshnakov
Date of publication2016-07-27 03:50:56
MaintainerGeorgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
LicenseGPL (>= 2)
Version2.1

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.

Functions

+,Best_t,Best_t-method Man page
Best_t-class Man page
CgmmParametersEstim Man page
ComplexCF Man page
ComputeBest_t Man page
ComputeBest_tau Man page
ComputeDuration Man page
ComputeFirstRootRealeCF Man page
ComputeStatObjectFromFiles Man page
ConcatFiles Man page
Estim Man page
Estim-class Man page
Estim_Simulation Man page
expect_almost_equal Man page
get.abMat Man page
get.StatFcts Man page
getTime_ Man page
GMMParametersEstim Man page
IGParametersEstim Man page
initialize,Best_t-method Man page
initialize,Estim-method Man page
IntegrateRandomVectorsProduct Man page
jacobianComplexCF Man page
KoutParametersEstim Man page
McCullochParametersEstim Man page
MLParametersEstim Man page
PrintDuration Man page
PrintEstimatedRemainingTime Man page
RegularisedSol Man page
sampleComplexCFMoment Man page
sampleRealCFMoment Man page
show,Best_t-method Man page
show,Estim-method Man page
StableEstim-package Man page
StatFcts Man page
TexSummary Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

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