StableEstim: Estimate the Four Parameters of Stable Laws using Different Methods
Version 2.1

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.

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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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("StableEstim")

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
ArcCov Source code
AsymptoticConfidenceInterval Source code
Best_t-class Man page
BilinInterp_2D Source code
BisectionLocalize Source code
CgmmParametersEstim Man page Source code
CheckParametersRange Source code
CheckTrueParInFiles Source code
ComplexCF Man page Source code
Compute2SCgmmParametersEstim Source code
Compute2SGMMParametersEstim Source code
ComputeApproxOptSpacing Source code
ComputeArgComplex Source code
ComputeBest_t Man page Source code
ComputeBest_tau Man page Source code
ComputeCgmmFcts Source code
ComputeCmat Source code
ComputeComplexCF Source code
ComputeCovarianceCgmm Source code
ComputeCueCgmmParametersEstim Source code
ComputeCueGMMParametersEstim Source code
ComputeCurrentEstim Source code
ComputeCutOffInverse Source code
ComputeDuration Man page Source code
ComputeEquallySpacedPoints Source code
ComputeFctsVals Source code
ComputeFirstRootRealeCF Man page Source code
ComputeITCgmmParametersEstim Source code
ComputeITGMMParametersEstim Source code
ComputeInvKbyG Source code
ComputeMCSimForAlphaBeta Source code
ComputeObjective Source code
ComputeObjectiveCgmm Source code
ComputeOptimisedPoints Source code
ComputeOutputOneSampleSize Source code
ComputeRegularizedK1G Source code
ComputeRegularizedSol Source code
ComputeStatObjectFromFiles Man page Source code
ComputeStatOutput Source code
ComputeStatOutputPar Source code
ComputeT Source code
ComputeTau0 Source code
ComputeV Source code
ComputeWeightingMatrix Source code
Compute_tBands Source code
Compute_tauBands Source code
ComputeqAlphaLambda Source code
ConcatFiles Man page Source code
ConvertSecToVectorTime Source code
ConvertVectorTimetoSec Source code
DataMatrixRealCFMomentCondition Source code
DataVarRealCFMoment Source code
Estim Man page Source code
Estim-class Man page
Estim_Des Source code
Estim_Simulation Man page Source code
EstimateAlpha Source code
EstimateAlphaGamma Source code
EstimateBeta Source code
EstimateBetaDelta Source code
GMMParametersEstim Man page Source code
GMMasymptoticVarianceEstim Source code
IGParametersEstim Man page Source code
IntegrateRandomVectorsProduct Man page Source code
InvDet Source code
KogonParametersEstim Source code
KoutParametersEstim Man page Source code
MLParametersEstim Man page Source code
MSE Source code
McCullochParametersEstim Man page Source code
MixedLocalize Source code
NameParamsObjects Source code
NameStatOutput Source code
NumDeriv_jacobian Source code
ObjectiveFctToMinIn_t Source code
ObjectiveFctToMinIn_tau Source code
PrintDuration Man page Source code
PrintEstimatedRemainingTime Man page Source code
PrintIteration Source code
RegularisedSol Man page Source code
Sn Source code
StableEstim-package Man page
StatFcts Man page
SumLogDesnity Source code
TexSummary Man page Source code
VectorialDensity Source code
WelshFirstRootRealeCF Source code
YCov Source code
almost_equal Source code
asymVarRealCFMoment Source code
asymptoticVarianceEstimCgmm Source code
asymptoticVarianceEstimGMM Source code
asymptoticVarianceEstimKout Source code
asymptoticVarianceEstimML Source code Source code
checkCov Source code
checkEstimMat Source code
checkFreeArgs Source code
checkIterationControl Source code
checkMainArgs Source code
checkPD Source code
checkRange Source code
checkTrueParInMatrix Source code
checkValidConstantC Source code
crossSum Source code
deleteCheckPoint Source code
ecf Source code
expect_almost_equal Man page Source code
get.StatFcts Man page Source code
get.abMat Man page Source code
get.arctan Source code
getCgmmMethodName Source code
getEstimFcts Source code
getEstimation Source code
getGMMmethodName Source code
getKoutMethodName Source code
getOneSampleEstim Source code
getRandomWeight Source code
getSampleSizesFromFiles Source code
getSeedVector Source code
getSingularValueDecomposition Source code
getSpacingType Source code
getTfromTau Source code
getTime_ Man page Source code
getTpoints Source code
getUpoints Source code
getWeightedVectorProductForSpecifiedSequnce Source code
get_align Source code
get_digits Source code
get_display Source code
get_filename Source code
get_filename_checkPoint Source code
get_format Source code
getnbrLpoints Source code
getnbrTpoints Source code
graphFirstRootRealeCF Source code
initOutputFile Source code
initialize,Best_t-method Man page
initialize,Estim-method Man page
invFisherMatrix Source code
jacVectorialDensity Source code
jacobianComplexCF Man page Source code
jacobianSampleComplexCFMoment Source code
jacobianSampleRealCFMoment Source code
linearInterp_1D Source code
max Source code
mean Source code
methodDesML Source code
min Source code
nitRes Source code
numFirstRootRealeCF Source code
phinR Source code
plot.integrand Source code
readCheckPoint Source code
sampleComplexCFMoment Man page Source code
sampleRealCFMoment Man page Source code
saveFile Source code
show,Best_t-method Man page
show,Estim-method Man page
smooth_gu Source code
st.err Source code
test.ComputeComputeFirstRootRealeCF Source code
test.ComputeWeightingMatrix Source code
test.DataVar.case Source code
test.DataVarRealCFMoment Source code
test.GMMasymptoticVarianceEstim Source code
test.KoutObject Source code
test.KoutParametersEstim Source code
test.OptAsym.case Source code
test.WelshFirstRootRealeCF Source code
test.asymVarRealCFMoment Source code
test.graphFirstRootRealeCF Source code
test.id.case Source code
test.numFirstRootRealeCF Source code
updateCheckPointValues Source code
updateOutputFile Source code
validEstimObject Source code
validEstimObject_t Source code
writeCheckPoint Source code

Files

inst
inst/Examples
inst/Examples/VectIntegral_examples.R
inst/Examples/BestT_examples.R
inst/Examples/file2.csv
inst/Examples/Estim_examples.R
inst/Examples/file1.csv
inst/Examples/RegularInverse_examples.R
inst/Examples/examplesInDoc.R
inst/Examples/test1.csv
inst/Examples/test2.csv
inst/Examples/Start.R
inst/Examples/fileSum.csv
inst/Examples/Simulation_examples.R
NAMESPACE
R
R/Interpolation.R
R/Estim_Class.R
R/Estim.R
R/ExternalPackageInterface.R
R/cte.R
R/ToolsFct.R
R/stableCF.R
R/WeightingMatrix.R
R/CheckPoint.R
R/BestT.R
R/MultiDimIntegral.R
R/OutputFileManip.R
R/tSchemes.R
R/GMMParamsEstim.R
R/CgmmParamsEstim.R
R/RegularInverse.R
R/Simulation.R
R/CFbasedMoment.R
R/KoutParamsEstim.R
R/eCFfirstZero.R
R/InitialGuess.R
R/MLParamsEstim.R
R/BestT_Class.R
MD5
DESCRIPTION
man
man/ConcatFiles.Rd
man/TexSummary.Rd
man/McCullochParametersEstim.Rd
man/ComputeBest_t.Rd
man/Inverse.Rd
man/sampleRealCFMoment.Rd
man/getTime.Rd
man/FirstRoot.Rd
man/BestTClass.Rd
man/Output.Rd
man/EstimFct.Rd
man/ComputeDuration.Rd
man/PrintDuration.Rd
man/StatFcts.Rd
man/abMat.Rd
man/GMMParametersEstim.Rd
man/Integrate.Rd
man/get.StatFcts.Rd
man/PrintEstimatedRemainingTime.Rd
man/KogonParamsEstim.Rd
man/CgmmParamsEstim.Rd
man/EstimClass.Rd
man/Estim_Simulation.Rd
man/almostEqual.Rd
man/CF.Rd
man/MLEstimFct.Rd
man/sampleComplexCFMoment.Rd
man/StableEstim-package.Rd
man/ComputeBest_tau.Rd
man/jacCF.Rd
man/KoutParamsEstim.Rd
StableEstim documentation built on May 19, 2017, 10:37 p.m.