IGParametersEstim | R Documentation |
Kogon regression method is used together with the McCulloch quantile method to provide initial estimates of parameters of stable distributions.
IGParametersEstim(x, pm = 0, ...)
x |
data used to perform the estimation: vector of length n. |
pm |
parametrisation, an integer (0 or 1); default: |
... |
other arguments. Currently not used. |
The parameters γ and δ are estimated using the McCulloch(1986) quantile method from fBasics. The data is rescaled using those estimates and used to perform the Kogon regression method to estimate α and β.
a vector of length 4 containing the estimates of the 4 parameters.
Kogon SM and Williams DB (1998). “Characteristic function based estimation of stable distribution parameters.” A practical guide to heavy tailed data, pp. 311–335. McCulloch JH (1986). “Simple consistent estimators of stable distribution parameters.” Communications in Statistics-Simulation and Computation, 15(4), pp. 1109–1136.
Estim
, McCullochParametersEstim
x <- rstable(200, 1.2, 0.5, 1, 0, pm = 0) IGParametersEstim(x, pm = 0)
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