KoutParametersEstim | R Documentation |
Iterative Koutrouvelis regression method with different spacing schemes (points where the eCF is computed).
KoutParametersEstim(x, theta0 = NULL, spacing = c("Kout", "UniformSpac", "ArithSpac", "free"), pm = 0, tol = 0.05, NbIter = 10, PrintTime = FALSE, ...)
x |
data used to perform the estimation: vector of length n. |
theta0 |
initial guess for the 4 parameters values: vector of length 4 |
spacing |
scheme used to select the points where the moment conditions are
evaluated. |
pm |
parametrisation, an integer (0 or 1); default: |
tol |
the loop stops if the relative error between two consecutive
estimation is smaller then |
NbIter |
maximum number of iteration. The loop stops when |
PrintTime |
logical flag; if set to TRUE, the estimation duration is printed out to the screen in a readable format (h/min/sec). |
... |
other arguments to pass to the function. See Details. |
spacing
4 options for the spacing scheme are implemented as described above. In particular:
UniformSpac
, ArithSpac
:The user can specify the number of points to choose in both
regression by inputting nb_t
and nb_u
. Otherwise the
Koutrouvelis table will be used to compte them.
free
:The user is expected to provide t_points
and
u_points
otherwise the Kout
scheme will be used.
a list with the following elements:
Estim |
|
duration |
estimation duration in a numerical format. |
method |
|
Koutrouvelis IA (1980). “Regression-type estimation of the parameters of stable laws.” Journal of the American Statistical Association, 75(372), pp. 918–928.
Koutrouvelis IA (1981). “An iterative procedure for the estimation of the parameters of stable laws: An iterative procedure for the estimation.” Communications in Statistics-Simulation and Computation, 10(1), pp. 17–28.
Estim
pm <- 0 theta <- c(1.45, 0.5, 1.1, 0.4) set.seed(1235) x <- rstable(200, theta[1], theta[2], theta[3], theta[4], pm = pm) theta0 <- theta - 0.1 spacing <- "Kout" KoutParametersEstim(x = x, theta0 = theta0, spacing = spacing, pm = pm)
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