Kogon regression method + McCulloch quantile method.

Description

Kogon regression method is used together with the McCulloch quantile method to provide initial estimates.

Usage

1

Arguments

x

Data used to perform the estimation: vector of length n.

pm

Parametrisation, an integer (0 or 1); default: pm=0( the Nolan ‘S0’ parametrisation).

...

Other arguments. Currently not used

Details

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.

Value

a vector of length 4 containing the estimate of the 4 parameters.

References

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.

See Also

Estim, McCullochParametersEstim

Examples

1
2
 x <- rstable(200,1.2,0.5,1,0,pm=0)
 IGParametersEstim(x,pm=0)

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.